How can I deduct federally taxed, foreign pension from state return?

It depends how you reported the distribution of the foreign pension.  If you reported it as a 1099R, here will be a follow up screen asking you which state you live in, here you will check Illinois.

If you entered your income under less common income>miscellaneous income, there is a different procedure. When you prepare your Illinois state return, you will come to a section entitled Here is the income Illinois handles differently. Look for retirement income and then retirement income deduction. Here is where you would exclude the pension. 

Don't get confused by the wording in the program.  This is where you will enter it so you won't get taxed on the income.