I have an employer sponsored annuity through TIAA. It is a 403B. Do I have to pay taxes on this in Pennsylvania? I did not take RMDs until I turned 72.

It depends, if this is part of a qualified retirement plan, it is not taxable income.  It does not matter if it was set up in PA or another state.  PA does not distinguish based on state of creation. 

If this is from a nonqualified plan, then yes, PA would tax the annuity earnings.  The contributions you made you would not be taxed on. 

Thank you! This is exactly what I was trying to find.  Read a lot, even the Pennsylvania tax information on retirement, and it really didn't address my question about working elsewhere and setting up the 403B in another state before retiring in Pennsylvania.