I believe the expectation was that you were supposed to roll it into an IRA or take as a distribution. Did you remove the money from the inherited IRA or did they just send you a check?
I am surprised that the originating IRA company did not file paperwork with the IRS. You might want to contact them. If they reported it as a distribution, then you will have to pay tax. It was the job of the origination IRA company to provide you with options, not just send you the cash.
