The question 'Where is Your Distribution From?' is to determine the source of the distribution, as a Federal or State pension may not be taxable on either your Federal or State return, or whether it's a private pension.
Choose 'None of the Above' if the other choices don't apply. TurboTax will ask questions to document whether you should be penalized or not (even if you already know this).
Here's more info on Where is This Distribution From?