You mentioned two desiderata. For a list of gun friendly states, you might glance at the most recent Guns & Ammo list of Best States for Gun Owners:
https://www.gunsandammo.com/editoria...-owners/369075 . There are other state characteristics you might consider important:
https://www.freedominthe50states.org/ You can google and find a ton of relocation websites if you wish.
In terms of business, if you're not independently wealthy you might consider a big city. Big cities are where the opportunities lie, and comfortable little communities always surround big mega-cities. Best of both worlds: jobs and good neighbors.
Both the state and the city should be gaining population. No sense in starting a business only to lose customers every year due to things you can't control. The city should have limited room for expansion. Examples would be Miami (Everglades to the south, Atlantic to the east. The west is limited. Can mostly only grow to the north. Another example might be Salt Lake City. Yet a third might be a city blocked on two or more sides by national parks or forests. The reason to seek a growing population in an area of limited land availability is that property you buy has a chance of reasonable appreciation (more people into a fixed area equals higher land prices).
New emigrants to a city probably have fewer links to established businesses, leaving opportunity for you to solicit to them through the web. Alternatively, a personable martial artist could teach unarmed skills at multiple locations: a gun store might sponsor a class; you could teach a semester class at one or more community colleges, or you might offer to speak on unarmed self-defense to women's groups. If you have a little money, you might build-out a manicure salon and rent the chairs. Around here you can't swing a dead cat without hitting a manicure salon, and they all seem to be doing well.
Good luck.
