If I have a corporation that does consulting services virtually all over the US, in what state do a file a business state tax return? I live out of the US and I have never conducted business in the state where I incorporated.

then you need to file your return with the state where you incorporated

I would assume you need to file a return in every state you do business in (besides a federal 1120). If you do not have the time or skill to research the filing requirements you need to hire someone. If you do business in any state that state has the right to tax you (and require your business to file a corporate return of some kind). Most would require you to reconcile to the federal 1120 so this is the starting point.