I had a stint on unemployment in NYC several years ago. Unemployment isn't very much.I do know that each state pays different amounts. WI for example pays $350/week where IN pays $390/week (maximimums depending on how much you qualify for.) MN which was another option for me pays yet a different amount. So it certainly is in your best interest to figure out where to file to maxmize your benefit.
File in the state in which you have permanent residency status.