$S \subset \mathbb N$ (let's include $0$ in our natural numbers) clearly. $a\mathbb N \subset S$ and $b\mathbb N \subset S$ so if $a = 1$ or $b =1$, $S = \mathbb N$.
So it suffices to assume $a > 1$ and $b > 1$.
Okay some bold claims:
1) $n = a(b-1) + b(-1) = a(-1) + b(a-1)=ab-a-b \not \in S$.
2) For any $n > ab-a-b$, $n \in S$.
And as $S \subset \mathbb N$, follows that $S = \{ak + bj| 0\le k <b, 0 \le j < a\} \cup \{n > ab - a - b| n \in \mathbb N\}$.
...
Clain 3: If $n = ax + by$ then $n = aw + bv \iff a = x + kb; b = x-ka$ for some $k \in \mathbb Z$.
Pf: $a(x+kb) + b(x - ka) = ax + by +akb - akb = ax + by$
Let $aw + bv = ax + by$ and let $m = w-x$. Then $ax + by = aw + bv = a(x+m) + bv =ax + bv+am = ax + b(v+\frac{am}b)$
So $y = v + \frac{am}b$ is an integer. So $b|am$ but $\gcd(a,b) = 1$ so $b|m$. So $m = kb$ and $w = x + kb$ and $v = y - \frac{akb}b =y-ak$.
So now the first claim:
Let $n = a(b-1) +b(-1) = a(w) + bv$. Then $w = b-1 + kb$ and $v= -1 - ka$. If $k \ge 0$ then $-1-ka \le -1 < 0$. If $k > 0$ then $k \ge 1$ and $w = b-1 + kb \le -1 < 0$.. So there are no $x,y \ge 0$ so that $ax +by = n$
Now the second claim.
Well, first claim 4: There exist $0 < W < b$ and $0 < V < a$ so that $aW - bV = 1$
By euclids algorithm we know there exist $x, y$ so that $ax + by = 1$. As $a,b > 0$ it's it must be that one of $x,y$ is positive and the other is negative. Now by archimedian principle we can find an integer $k$ so that $0 \le x + kb < b$. Let $W = x + kb$ and let $V = ka - y$ so $aW - bV = a(x + kb) + b(y - ka) = 1$
If $W = 0$ then $1=aW - bV = -bV$ which is impossible as $b \not \mid 1$.
So $0 < W= x+kb < b$ so
$\frac{-x}b < k < \frac {b-x}b = 1 - \frac xb$
$- \frac{xa}b - y < ka - y = V < a - \frac {xa}b$
So $V < a$ and if $V \le 0$ then $aW - bV > aW > 1$. So $0 < V$.
Okay, now the second claim.
Let $n = ab -a -b + 1= ab -a -b +aW -bV$
$=a(W -1) + b(a-1-V)$
$W \ge 1$ so $W-1\ge 0$. $a > V$ so $a-V > 0$ so $a-V \ge 1$ so $a-1-V \ge 0$. So $a-a-b+1 \in S$.
Suppose $n \in S$ and $n > ab -b -a$.
Then $n = ax + by; x,y \ge 0$ wolog $0 \le x < b$. (Else substitute with $x' = x + kb$ so that $0 \le x < b$). $ax + by > a(b-1) + b(-1)$ but $x \le b-1$ so $y > -1$ i.e $y \ge 0$.
$n+1 = ax +by + aW -bV=a(x+W) + b(y-V) = a(x+W -b) + (y-V +a)$. $x+(W-b) > x \ge 0$. $y-V + a = y +(a-V) > y \ge 0$. So $n_1 \in S$.
So Claim 2 follows by induction.
===
Example $a = 5$ and $b=7$. All integers $n > 35- 5 - y = 23$ are in $S$.
$3*5 - 2*7 = 1$ so $W =5; V = 2$ $24 ==a(W -1) + b(a-1-V)=5*2 + 7*2$. $25 = 5(2+3) + 7(2-2) = 5*5; 26 = 5(5+3) + 7(0-2)= 5(5+3 -7) + 7(0-2+5) = 5+3*7; $ etc.
So $S = \{0,5,10,15,20,7,12,17,22,14,19,21, n\ge 24\}$.