No. A pension is not "earned" income for which you need to pay state tax to VA. If you live in WV, you pay state tax to WV, not to VA, despite the fact that the pension check is originating from VA or being mailed to you from VA.
Just enter your 1099R for the pension in your federal return and the information will flow to your state return according to the state tax laws of your state.
To enter your retirement income, Go to Federal> Wages and Income>Retirement Plans and Social Security>IRA 401 k) Pension Plan Withdrawals to enter your 1099R.