Failure to consummate is NOT grounds for annulment in Nevada. Annulment is only available for void marriages (consanguinuity or bigamous), marriage between minors without parental consent, consent to marriage obtained by fraud, or if either of the parties lacks the mental faculties to understand what marriage means.
If one of these applies, you can get annulled in Nevada regardless of where you live now.
Barring one of these you will need to apply for divorce in wherever you are residing.