No, you do not have to file a state return just because it was incorrectly listed on your 1099-R. (The only reason to file in that state would be to get a refund of tax withheld).
While this is not critical, you might want to contact the issuer (again?) and ask them to remove it from your account record. If you do this, I'd suggest a letter, with proof of mailing and return receipt.
If that state ever contacts you about the matter, just tell them you aren't a resident, the 1099-R is incorrect and you have asked the issuer to correct the problem.
