The fact that the IRA custodian inappropriately accepted a rollover to an inherited IRA does not make it a legal rollover, so you run the risk of the IRS discovering the transgression and retroactively assessing an excess-contribution penalty for each year the excess contribution remains. There is generally no statute of limitations on assessing this penalty.
Here is a PLR indicating that such a failed rollover is considered to be an excess contribution subject to penalty: https://www.irs.gov/pub/irs-wd/0228023.pdf
