Most likely the IO was correct and you are already a U.S. citizen.
When your parents got naturalized, was it before or after Feb 27, 2001? If after, then you have (presumably) derived U.S. citizenship under the Child Citizenship Act, see
If it was before Feb 27, 2001, the rules for deriving citizenship through parent's naturalization would have been a bit different then, but most likely you still qualified.
The fact that you had a Chinese passport has no bearing on you obtaining U.S. citizenship. Same with the green card - you (presumably) did become a U.S. citizen when your parents naturalized, but your parents did not file the necessary paperwork then to get you a certificate of citizenship and/or U.S. passport. Nevertheless, you still became a citizen.
To qualify for derived citizenship under the Child Citizenship Act (assuming your parents naturalized after Feb 27, 2001) at some point after the naturalization of at least one of the parents and febore your 18th birthday you had to leave in the physical and legal custody of the naturalized parent in the U.S. and have had a valid GC.
If you did derive U.S. citizenship after your parents' naturalization, you can file N-600 now and you can also directly apply for a U.S. passport (although doing N-600 is still a good idea).