Let $C_1 = \{ 1\}$, $C_2 = \{ 1, -1 \}$, $C_3 = \{1, \omega, \omega^2\}$, …, $C_n = \{x: x^n=1\}$, i.e $x$ is $n$th root of unity for fixed $n\in\mathbb{N}$, the set of natural numbers, then clearly under multiplication of complex number as binary operation, each $C_i$ is an abelian group of order $i$.
In fact, it is cyclic also. But I am not getting what will happen if we take a set $G$ which is union of all these $C_i$s, i.e., $G = \bigcup_{i=1}^n C_i$, where $n\in\mathbb{N}$, under same binary operation is also a group? And if yes then it is of infinite order?
Also what is the difference between saying $H =\{ x: x \text{ is $n$th root of unity for fixed $n\in\mathbb{N}$}\}$ and $K =\{x: x\text{ is $n$th root of unity for some $n\in\mathbb{N}$}\}$?
Yes, $G$ constructed in this way is a group. More generally, any directed colimit (or even filtered colimit) of groups is computed in this way in terms of their underlying sets.
In fact, we can identify the group structure; there is an isomorphism
$$ \mathbb{Q}/\mathbb{Z} \to G : \frac{m}{n} \mapsto \exp\left( \frac{m}{n} 2 \pi i\right) $$
(check that this is well-defined!)
The inverse of this isomorphism can be expressed in terms of the complex argument function.