You can do it in two places.
On the federal return when you entered the 1099-R for the pension fund that is the code 05E ("Other Qualified Exempt Retirement Benefits"), a few screens after you enter the 1099-R (but still in the 1099-R interview), you will see a screen with the heading "Where is this distribution from?" (see screenshot below). You will see that these are Louisiana-centric questions, and you can check box 05E here.
If you don't see the screen above (perhaps you are a non-resident?), then go to the Louisiana interview. Continue until you see a screen with the heading "Any Other Income Exclusions?" On the Select Description box, pull down the menu and choose "05E Other retirement benefits" and enter the amount of the pension in the right hand column.