I received a 1099-r from my aunt passing away. I live in MO and the 1099-R says IL on the bottom but no IL taxes were withheld, only Federal tax withholding. Do I have to claim this income in IL?

You do not need to file an IL tax return, for two reasons:

1. You did not live or work in IL,
2. IL does not tax distributions from IRA or 401(k) accounts.