Filing in Pennsylvania, receiving pension from Nevada, won't let me continue filing?

What do you mean ---exactly-- when you say it "won't let me continue filing?"   What is it doing?  Where are you stuck?  And what does it have to do with the pension?

When I go to review, it asks for out of state money earned? My pension is Nevada, but Nevada is not listed in the list of out of state. It then asks to delete my Pa return?

You did not "earn" money in another state.  Pension income is not "earned" income.   Go back to MY INFO and change the way you answered the question about money in another state.  You only need to file a PA state return.