This is real complications of marriage in those states with marriage equality. You will need to bring the annulment or divorce in a state that recognizes same sex marriage and has provisions for divorce. That will also require you to comply with that state's residency and procedural requirements for such an action. Generally at least one party has to go to the state where the divorce will be obtained and the other party will have to consent to the jurisdiction. Please consult a domestic relations attorney in a marriage equality state. Good luck.
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