If the divorce is going to take place in England and Wales, any county court can issue the proceedings, provided that they have been authorised to do so.
It is usual to go to your local county court. It is more convenient, particularly if there have to be court hearings (usually to do with finance but occasionally to do with children).
It is possible to use other courts though, and the Principal Registry in London is often used by people outside of London as well as inside London. It is a very busy court, and there are usually delays in getting court hearings or in the paperwork being processed.
Some people argue that different courts are better for different types of cases. Individuals prefer some courts because they think that their case will be dealt with more speedily or because they may have some other advantage. You can get advice on this from solicitors who use the courts regularly.
If proceedings do not take place in the local court, then there may be additional legal costs because of the time spent travelling to and from that court.