It should be included on the 1099-R form.
Start by putting AZ in the "State" box. If the Payer's state number is not on the form, contact the issuer of the 1099-R or check their website.
It's actually box 13:<a rel="nofollow" target="_blank" href="https://www.irs.gov/pub/irs-prior/f1099r--2018.pdf">https://www.irs.gov/pub/irs-prior/f1099r--2018.pdf</a>