I have a German BlueCard (for the last 2 months) which I got at city X, which is one of my company's several locations. Now my company HQ is in city Y (both X and Y are inside Germany, different states) - will this affect my German BlueCard? The job, position, salary remain exactly same with no changes whatsoever.
Since your employer has not changed, this will not effect the BlueCard.
In the first 2 years you need permission only when changing the employer. The permit is valid for the country, only the responsible office changes.
You could send the Immigration office a letter from your company stating that you are being transferred to the new location. With that they would know that nothing else has changed.
Your file will probably just be transferred from the former office, who is no longer responsible for you once you have registered in the new state (or city).