Short term disability benefit income received from Cigna reported in Explanation of Benefits. Where do we report this income on personal income tax return?

You need to look at the form description reported to you such as W-2, 1099-Misc, 1099-C, 1099-A .... etc.
All tax programs will allow you to enter this income in the appropriate section of the program as long as you know what form that was reported to the IRS

Thank you, sir! We did not receive any forms such W-2, 1099-Misc, 1099-C or 1099-A.