Getting married in either place is fine. I would apply outland because it is generally much faster. With inland you can get an open work permit, but you won't get it until 4 or 5 months after applying. For someone applying from the UK, it would not take much more time than that to get your PR.
With inland, you are advised to stay inside Canada for the length of processing, which could be 2 years. If you leave, and are not let back in, the application is over. With outland, you do not have to be in Canada. You can still visit here if you want, though.