If my pension plan wrote a different state in box 15 than the one I live in, do I have to file a return in that state too?

No, you do not file a tax return for the state the pension originated from.  You pay state tax for the state you actually live in.

But please explain why your mailing address is not the same as your "physical address"-----You need to use your correct mailing address on your tax returns so the IRS and state have the right address in case they need to mail you a letter or a check.