John, mine is paid in the UK but I do not have a choice in the matter. Because I was in South Wales Fire Service which covers several Unitary Authorites, it is a 'Combined Fire Authority' which the IR regard as a Government pension and cannot be paid here. If I had been in a 'County Fire Service', Devon, Durham etc, it would not be regarded as a 'Government' pension. Work that one out! Same pension scheme!
Given a choice I would have it paid here then there would be no tax to pay.