Sales data analyses are increasingly used to guide tobacco regulatory science. However, such data do not cover specialist retailers like vape shops or tobacconists. Understanding the extent of the cigarette and electronic nicotine delivery system (ENDS) markets covered by sales data is critical to establishing such analyses' generalizability and potential biases. Using retail sales data from Information Resources Incorporated (IRI) and Nielsen, we conduct tax gap analyses comparing states' cigarette and ENDS tax revenue to tax collection estimates based on retail sales data. For the 23 US states in both retail sales datasets, cigarette tax gap analyses were conducted for each year from 2018 to 2020. Four (Louisiana, North Carolina, Ohio, and Washington) of those 23 states levied per-unit ENDS taxes and provided monthly tax revenue data covering January 2018 to October 2021, where we conducted monthly tax gap analyses for both cigarettes and ENDS. Across states covered by both sales datasets, annual mean cigarette sales in IRI and Nielsen account for 92.3% (95% CI = 88.3% to 96.2%) and 84.0% (95% CI = 79.3% to 88.7%) of state cigarette tax revenue, respectively. Monthly average coverage rates for ENDS sales were lower, ranging from 42.3% to 86.1% for IRI and 43.6% to 88.5% for Nielsen, but remained stable over time. IRI and Nielsen sales data capture almost the entire US cigarette market and a substantial but lower portion of the US ENDS market. With proper care to address shortcomings, sales data analyses can capture changes in the US market for these tobacco products. Policy evaluations and analyses using e-cigarette and cigarette sales data are often criticized because these data do not cover online sales or sales by specialty retailers like tobacconists. Cigarette sales data consistently cover nearly 90% of taxed sales, while e-cigarette sales data cover around 50% of taxed volumes. Retail sales data capture nearly all cigarette sales and a substantial portion of ENDS sales with relatively stable rates of coverage over time, supporting their continued use in tobacco surveillance and policy evaluation work.