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That is a matter of personal choice. Many people like to start in the city that their character type is typically from: San d'Oria for Elvaan, Bastok for Hume and Galka, and Windurst for Tarutaru and Mithra. You can explore the maps and such on the wiki to make the decision for yourself.
For more information, refer to the Allegiance page: http://wiki.ffxiclopedia.org/wiki/Allegiance