In my state of Kansas, 'liquor stores' can sell the whole range of alcoholic beverages. Grocery stores and convenience stores here can currently only sell beer, although there's legislative moment to allow them to sell wine. I live only a few miles from the state line with Oklahoma, where grocery stores can sell wine as well, and also sell booze on Sundays, contrary to Kansas.
However, as other US members have said, this varies widely from state to state. I once stopped at a liquor store in Idaho to try and purchase a particular brand of beer I'd seen a character drinking in a tv show set in the region. Much to my surprise, I was told that they couldn't sell beer - only grocery stores could sell beer in that state. Massachusetts allows sales of wine, beer, and spirits in both grocery stores and liquor stores. Oklahoma allows beer and wine in grocery stores. Each state is different.
Even the name for the alcohol-only stores varies regionally across the US. As Dave mentioned, 'liquor store' would be understood probably anywhere in the US, although what you can buy in them will vary. In much of New England they're called 'package stores' (or at least in NY, MA, and CT).
Rhode Island also has state-owned liquor stores, although I can't recall if they had the same monopoly as Pennsylvania. Since the state owned them, they didn't charge sales tax, making them marginally cheaper than places where you had to pay the sales tax.
My favorite place I've seen beer sold was a place in southern Ohio called "Fast Fred's Seed and Feed". It was an actual barn, converted to a drive-through operation where they had coolers with beer, beverages, and other human food on the driver's side. On the passenger side were bales of hay, alfalfa, salt/mineral blocks, and bags of animal feed. I think they maybe even carried some other farming/ranching supplies such as crop seeds and fencing supplies.
Unfortunately I was in a rental car returning to the airport so I couldn't really purchase much, but I did stop for pictures and drive through to purchase a non-alcoholic beverage. :lol:
I really, really hope I can find those pictures again someday.