Pension income is considered to be reported in the state(s) you lived when you received it.
If you didn't live in the US at all in 2020, you don't need to report this income on any state return.
However, if any North Carolina taxes were withheld on the income, you would file a Non-Resident State Return there.
If this applies to you, this link has instructions for How to File a Non-Resident State Return.
Click this link for info on How to Enter 1099-R.
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