Where is it permissible for me to shorten and combine prayers, and where is it not, given that I reside in Makkah where my parents live, my marriage contract with my wife was concluded in Jeddah, I work in Al-Baha and stay there four days a week, two days in Jeddah, and one day in Makkah?

It is not permissible to shorten the prayer in Makkah if it is your original place of residence.

As for Al-Baha, you are permitted to shorten the prayer there if the distance between it and Makkah exceeds 83 kilometers, provided that your stay there does not exceed four days.

As for Jeddah, you are not permitted to shorten the prayer there if you come to it from Makkah, due to the short distance. However, if you come to it from a travel distance, you are permitted to shorten the prayer there, especially since you have not yet consummated your marriage. This is according to the Maliki and Shafi'i schools of thought. As for the Hanbali and Hanafi schools, they hold the view of performing the full prayer in this case.