Typically you do not need to return to the state or country where you got married to get a divorce. Divorce laws are usually based on residency requirements in the place where you file for divorce, not where the marriage occurred. In many cases, the site of marriage may not have legal jurisdiction to grant a divorce. In most U.S. states, one or both spouses must meet specific residency requirements (such as living in the state for a certain period) before filing for divorce there. The site of the marriage is not a valid basis for jurisdiction to grant a divorce.
Foreign divorces are generally not recognized in the United States even if the other country has a basis for jurisdiction. While a foreign country divorce may be recognized by Massachusetts in some circumstances, you should consult a Massachusetts family law attorney before you leave Massachusetts to get divorced in another country.