If married, you should have filed either as Married Filing Separately or as Head of Household (if qualified). However, this is an IRS matter. It should not be a big deal for immigration. I wouldn't worry about it.
From what status did your wife file the I-485? K1 or Work, Student, Tourist Visa?
It is very strange that an adjustment of status interview would focus on a tax return. Did you have other evidence?