I live in State A but my small business is in State B. I want to buy group coverage for my employees through the SHOP Marketplace. In what state should I buy health benefits?

You should buy group coverage through the SHOP Marketplace in State B, where your business is located.  If your business is located in a HealthCare.gov state, there is no SHOP Marketplace website.  Instead, you should contact insurers directly or work directly with a broker to buy a small group policy.  Be sure to specify that you want a SHOP policy.