What can i do if I have not received one (out of 3) 1095-B document, covering Jan - May. I moved out of state and maybe mail was not forwarded. It was for Medicare.

1095-B forms are not inputted. If you had health insurance all year, just indicate that you had health insurance all year. You don't need the data from a 1095-B to proceed

 You don't need to hold up your return just for a 1095-B.

You should file if you are ready to. In the (incredibly unlikely/ nearly impossible) likelihood that you'd be asked to prove that you had insurance, you would have plenty of ways to prove it that are much better than a 1095-B anyway.

Medicare is easy to prove.