They do grow in Mississippi; at least in the northern half. They grow in Alabama too. The general rule is north of Birmingham, but I'm sure there are a few south of there. I live in north Alabama and found a ton of them in 09 but it was so dry last spring I hardly found any.
If you know anything about looking for gensing, look in the same type ground that you would find ginseng in (rich damp shaded soil) and you should be able to find a few morels. I usually find them here in ash and poplar thickets, and dying elms are also very good.