The language is regular.
Hint: cast out nines
Proof idea
For $a=9$ and $b < 9$,
build an automaton with $9$ states labeled $0$ through $8$. $0$ is the initial state, and the one final state is $b$. From state $s$, on digit $d$, transition to state $(s + d) \;\mathrm{mod}\; 9$.
To handle other values of $a$ that are coprime with $10$,
group digits in packets to find some $k$ such that $a$ divides $10^k-1$ (e.g. take $k=3$ if $a=37$ because $999 = 27 \times 37$).
To handle values of $a$ whose only prime factors are $2$ and $5$,
note that it's all about a finite number of digits at the end.
To generalize to all values of $a$ and $b$,
use the fact that union and intersection of regular languages are regular, that finite languages are regular, and that the multiples of $a_1 \cdot a_2$ are exactly the multiples of both when $a_1$ and $a_2$ are coprime.
Note that we use whichever technique is convenient; the three main elementary techniques (regular expressions, finite automata, set-theoretic properties) are all represented in this proof.
Detailed proof
Let $a = 2^p 5^q a'$ with $a'$ coprime with $10$.
Let $M' = \{\overline{a'\,x+b} \mid x\in\mathbb{Z} \wedge a'\,x+b \ge 0\}$ and $M'' = \{\overline{2^p 5^q\,x+b} \mid x\in\mathbb{Z} \wedge 2^p 5^q\,x+b \ge 0\}$. By elementary arithmetic, the numbers equal to $b$ modulo $a$ are exactly the numbers equal to $b$ modulo $a'$ and to $b$ modulo $2^p5^q$, so $M \cap \{\overline{x} \mid x \ge b\} = M' \cap M'' \cap \{\overline{x} \mid x \ge b\}$. Since the intersection of regular languages is regular, and $\{\overline{x} \mid x \ge b\}$ is regular because it is the complement of a finite (hence regular) language, if $M'$ and $M''$ are also regular, then $M \cap \{\overline{x} \mid x \ge b\}$ is regular; and $M$ is therefore regular since it is the union of that language with a finite set.
So to conclude the proof it suffices to prove that $M'$ and $M''$ are regular.
Let us start with $M''$, i.e. numbers modulo $2^p 5^q$. The integers whose decimal expansion is in $M''$ are characterized by their last $\mathrm{max}(p,q)$ digits, since changing digits further left means adding a multiple of $10^{\mathrm{max}(p,q)}$ which is a multiple of $2^p 5^q$. Hence $0^* M'' = \aleph^* F$ where $\aleph$ is the alphabet of all digits and $F$ is a finite set of words of length $\mathrm{max}(p,q)$, and $M'' = (\aleph^* F) \cap ((\aleph \setminus \{0\}) \aleph^*)$ is a regular language.
We now turn to $M'$, i.e. numbers modulo $a'$ where $a'$ is coprime with $10$. If $a' = 1$ then $M'$ is the set of decimal expansions of all naturals, i.e. $M' = \{0\} \cup ((\aleph \setminus \{0\}) \aleph^*)$, which is a regular language. We now assume $a' > 1$. Let $k = a'-1$.
By Fermat's little theorem, $10^{a'-1} \equiv 1 \mod a'$, which is to say that $a'$ divides $10^k-1$. We build a deterministic finite automaton that will recognize $0^* M'$ as follows:
- The states are $[0,k-1] \times [0,10^k-2]$. The first part represents a digit position and the second part represents a number modulo $10^k-1$.
- The initial state is $(0,0)$.
- There is a transition labeled $d$ from $(i,u)$ to $(j,v)$ iff $v \equiv d 10^i + u \mod 10^k-1$ and $j \equiv i + 1 \mod k$.
- A state $(i,u)$ is final iff $u \equiv b \mod a'$ (note that $a'$ divides $10^k-1$).
The state $(i,u)$ reached from a word $\overline{x}$ satisfies $i \equiv |\overline{x}| \mod k$ and $u \equiv x \mod 10^k-1$. This can be proved by induction over the word, following the transitions on the automaton; the transitions are calculated for this, using the fact that $10^k \equiv 1 \mod 10^k-1$. Thus the automaton recognizes the decimal expansions (allowing initial zeroes) of the numbers of the form $u + y 10^k$ with $u \equiv b \mod a'$; since $10^k \equiv 1 \mod a'$, the automaton recognizes the decimal expansions of the numbers equal to $b$ modulo $a'$ allowing initial zeroes, which is $0^* M'$. This language is thus proved regular. Finally, $M' = (0^* M') \cap ((\aleph \setminus \{0\}) \aleph^*)$ is a regular language.
To generalize to bases other than $10$, replace $2$ and $5$ above by all the prime factors of the base.
Formal proof
Left as an exercise for the reader, in your favorite theorem prover.