Vehicles are normally titled in the state where the owner lives. (It’s not absolutely necessary, but it’s what most people do, and it’s generally more convenient – as you are learning.)
So the car that was previously owned by someone else in another state was titled there, as most cars in that state would have been. When ownership passed to you, then the simplest thing to do would have been to get a new title in that state, following whatever procedures the DMV requires. (I’ve never inherited a car before, so I don’t know what the paperwork requirements are.)
With the new title in your name, then you’re free to do what you need to do in your current state of residence. Normally, that would include re-titling the car in the new state (which may be a requirement if this is the state that you’re a resident of). Once the title is set, though, then registration should be straightforward.