I have checked this a lot, and from my experience, there are two things to pay attention to, your "permanent" residence when you buy insurance, and the network of that insurance. The cost of a policy could vary greatly depending where your declared residence is. For me, getting insurance through the AZ retirement system, the cost if I don't live in AZ is almost double if I do. Both plans cover me in any state.
Second, its the network of your plan that matters. It may be national or regional. So your actual location doesn't matter as long as many in-network doctors are there. Some plans will pay less if you are not in-network, some plans won't pay at all for out-of-network.
But do read a policy before signing. More and more insurance companies are looking for ways to get out of paying, so anything is game.