For some reason, a lot of people aren't aware they have this insurance. A common reason is, you might have had the standard basic state insurance at some point, and based on income or eligibility, they would have switch you to the State Marketplace Insurance.
You will need to contact the Marketplace Health Insurance for additional support, if you think this information is incorrect and/or for a physical copy of that form to be mailed to you.
Unfortunately, when the IRS rejects your return due to missing Form 1095-A it is because they have information on their system on your behalf from the Market Place Insurance.
The link below will redirect you to the IRS website, scroll down until you see Marketplace Contact Information. Locate your state for the contact phone number
The Health Insurance Market Place