I want to confirm that you are talking about taxes that were withheld from your annuity distribution by the annuity administrator. The state taxes withheld should have been in boxes 14-16 on your 1099-R.
If there is an amount here in box 14 then the taxes withheld in box 14 will be forwarded to the state tax return listed in the first part of box 15.
If you know that there were taxes withheld for a state AND there are no entries in boxes 14-16, then, as taxlady28 says, you need a corrected 1099-R.
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