When you apply for FSW, you pick a city where you are planning to live. This city is totally unimportant. You can go anywhere and they wont care. The only thing is as an FSW, you can not land in Quebec but once you are a PR, you have the right to live and work anywhere in Canada.
If you come in under a provincial nominee program, you sign a document stating you are planning to settle in that province. So far, I have not heard of anybody getting in trouble for not doing that but it could become a problem so it's best to at least start off in that province and make an attempt to settle there.