Does my forwarding number have to be a US number?

Yes, it does.  

What many clients do is buy a linespan.com silver number from us for $2 and use the voicemail option where for 0.05 per voicemail, you will be able to listen to the code on the reporting section of linespan and also have a .WAV file emailed to you with the code.

Watch this video to setup numbers for Voicemail https://youtu.be/YLvsoQdo5FY