Few years ago, I went back to Hong Kong and married my husband. I submitted a petition for him to come. Long story short, he did not pass the interview. We tried again but no words from immigration yet. During this time, I found out he cheated on me. Now I am not sure what to do. It is very difficult to contact foreign embassy for information. I am considering divorcing him. I like to know the process I need to go through to get this done. Do I need to travel back to Hong Kong to get a divorce? Am I consider married in the state of Pennsylvania?

If the petition is pending, you can notify USCIS that you are divorced and would like to withdraw the petition. Contact USCIS in US, not US embassy.

You need to file divorce in HK, you should retain an attorney there so you don't have to travel back and forth many times.