Generally, states such as Wyoming or Delaware are good states to incorporate in due to their business-friendly nature.
These states would serve you well if you have an online business with no physical location. If you would have a warehouse or an office, you would need to be registered in that state, respectively.
By your question, I assume you live outside the United States. This is no problem if that is the case, you are not required to provide a U.S. address for the business, nor are you required to submit any identification documents. We have a research article for international business owners titled 'U.S. Companies for Foreigners' which compares Wyoming and Delaware, as well as the different entity types and other tips and suggestions to get your business up and running.