I have never heard of a roll-over Roth IRA.
You can do two things in my opinion:
1) Roll over the whole pension to an IRA. Keep the taxable portion in the IRA and convert the tax-exempt portion to a Roth IRA. Since it's tax-exempt money you should be able to convert it tax free (though you may have to prove that the money has already been taxed).
2) Roll over the taxable portion to an IRA and place the tax-exempt money in a taxable account. Then each year take $4,000 out of the taxable account and invest it in a Roth. That second method could be the way to go if you just have a few thousand dollars in tax-exempt money to invest.
47 years old, single, no kids. Exited the job market in 2010 (age 36). Have lived solely off my investments since 2015 (age 41). No pensions.
Current AA: real estate 64% / equities 10% / fixed income 16% / cash 10%