I understand the allure of the US, but you need to understand that the US is legalistic, crazy complicated, very much against global firms/people, and follows you worldwide. Unless you’ve already started a business in the US before, approach it with extreme caution and get good advice. DO NOT go DIY for year 1-3 until you’ve ironed it all out. Otherwise you could be hit with a massive tax penalty, business falling apart, etc. Don’t even go there with DIY right now.
When you start a business in the US, you’re taking on the opportunity AND LIABILITY of being tied to the US. I’m sure you understand the opportunity part, and it is real. But there’s also a reason that many global US citizens think about renouncing their US citizenship; it sucks to be global and related to the US. This is no less true if you start a US business, even if you are not a US citizen.
Also having to deal with federalism is a HUGE nightmare depending on your business model; a lot of non-US citizens don’t really understand this key headache until after the fact: it isn’t one country, it is like working with many countries in some ways.
So by all means investigate it, but get a US lawyer who understands international issues, and get a good US tax advisor who handles international issues. If you don’t, you’re playing with fire.
In the long-run, it might be cheaper and easier to make a US business. But that’s not a sure thing, and it shouldn’t be cheap from the start or you’re probably missing something that’s going to bite you later (I say this as someone who has started both US and international corporations).
Given your situation, I’d actually suggest going for something like a Singapore company instead. That’s being widely done now among those in your situation. HK also would have been in the conversation until recent developments we’re all aware about.