"They said the policy was kept intact (not liquidated) and therefore would not generate a 1099R."
Perhaps they believe that the transfer was a trustee-to-trustee transfer was from one traditional IRA to another traditional IRA and is therefore non-reportable. However, moving a traditional IRA to a Roth IRA always requires reporting on a Form 1099-R. By law, any Roth conversion is a reportable distribution from the traditional IRA.
You should follow the instructions in IRS Tax Topic #154. If the traditional IRA custodian still refuses to provide the required Form 1099-R, you'll need to enter a substitute Form 1099-R by marking the "I need to prepare a substitute From 1099-R" box on the Tell Us Which 1099-R You Have page.
https://www.irs.gov/taxtopics/tc154
[Edit: Certainly a deferred IRA annuity can be converted to Roth. It's less clear how conversion of an immediate annuity would be converted due to the difficulty in determining the taxable value of the annuity.]
