Do I hire a divorce attorney in the state the marriage took place?

Typically, jurisdiction will not lie for a divorce action unless one or both of the parties have resided in that state for six months. You should contact an attorney in your previous state about the possibility of commencing action there presently. It would depend on the law of that jurisdiction. As far as your immigration case, if it's still pending adjustment of status, you should contact Uscis and tell them that you are canceling your sponsorship. If your husband already has his green card, then if he has a two-year card, there will be a second interview, but if he has a 10 year card then it's going to be very difficult to revoke that based upon your allegations of marriage fraud.