No, you would not be able to attach a statement.
You would need to contact the payor to have them retract the 1099-R. If they are unwilling to, you will need to contact the IRS at 800-829-1040. You should not include this form on your return when it is not correct. If you never received any of this money, then it is not income to you.
If you do not receive a corrected form showing that you did not get any money from them, then you would need to file using form 4852. If you need to include form 4852, you will need to print and mail your return as it cannot be e-filed.
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