There are a few places the ROC government can retreat to. The closest analogue to Taiwan is Hainan, though being part of the mainland, there is a festering communist insurgency that they need to root out. Other than that, they could continue to hold out there, though it's likely they'll face constant attacks by the PRC Penghu-style.
Other governments in exile include Southeast Asia, hiding out in Thailand and Myanmar and inciting revolts at the border. The problem with that is that they're essentially infringing on their hosts' sovereignty, something that was already an issue IOTL.
Also, as stated, they could flee to Macau or Hong Kong, where the communists can't pursue them without triggering a war with the Allies.
In the end though, all these scenarios will likely result in the complete destruction of Nationalist rule in China, and the faster recognition of the PRC as the sole successor. Really, Chiang won't survive nearly as long in any of those scenarios.
As for Taiwan, who knows. Its unique status as Japan's only non-Japanese home island might help ease the xenophobic tendencies of OTL's government, or excerbate them. I'd think the former would be more likely. If Tokyo tries to pull the alien registration stunt, we could see Taiwanese screaming for independence.