IIRC, characters who start in Gridania pick up the next quest in Ul'dah. (If I'm wrong, then it's Limsa. It's always whichever of the other two cities you visited last during the envoy quest.)

Though where you pick up the next quest (Call of the Sea) varies according to where you started from, it will send you to Limsa, which is where you'll get the Probably Pirates quest that unlocks the first dungeon.