I received a 1099-R form. Do I need to pay PA state and local taxes on this income? The Company already withheld 20% from the federal but nothing from state and local.

Probably not. Most retirement income is nontaxable in Pennsylvania, including Social Security, Railroad Retirement Benefits and commonly recognized pension, old age, or retirement benefits paid after becoming eligible to retire, and retiring. Enter your 1099-R in the federal section of TurboTax, and go through each screen in your state return.