What is the oxidation state for Mg in MgOH2?

Mg(OH)2

Same 2 - as always. When forming hydroxide one of those negative charges is taken up by the hydrogen. This is a way to figure polyatomic ion charges that is discouraged by chemistry teacher who want you to memorize the charges.

So, two oxygen's, and a total of 4 -, modified to 2 - by the hydrogens.