Pension/retirement income is taxable on a federal tax return. Where the pension income is from is not relevant for filing a state tax return. So No, you do not file an Oregon state return unless you had Oregon state income taxes withheld for the pension and shown on the Form 1099-R you received.
To enter, edit or delete a form 1099-R -
Or enter 1099-r in the Search box located in the upper right of the program screen. Click on Jump to 1099-R