The pension would be filed in the state that the veteran resided in. If in Mississippi, the State Archives in Jackson has these on microfilm. For ordering copies, see below:

http://mdah.state.ms.us/arrec/faq.php#cwar

Or, you can order them online here:

http://history-sites.com/research/confedrecs.html

Though some states are beginning to digitize their pension collections for placement online, Mississippi has not--likely due to the large expense such an undertaking would require.

Hope this helps,
Scott