Transfer not allowed between brokerages?

I have a Fidelty SEP account, HSA and regular account already. I have just inherited an IRA from a parent. The account is with Edward Jones. It has been an unpleasant situation dealing with the financial advisor. He is doing a hard sell for me to transfer the funds to an Ed Jones account that is opened in my name and keep it there.

He is trying to force me into loaded mutual funds. I don't want to deal with him or that kind of investment. I presume I HAVE to open an Ed Jones account to receive the money? If so, when that is established, can I just have Fidelity deal with the transfer to Fidelity? Should I give Fidelity the statement from Ed Jones first so that they have the details before I open a Fidelity account so that there won't be any delays in the transfer? The advisor is saying that I have to stick with him. I'm really upset and confused. This has taken over 6 months.