I think as a starting city for a Xaela, Limsa Lominsa makes the best sense. Lore and plot-wise, Ul'dah (not counting the good folks there) is pretty staunchly xenophobic--the monetarists don't want more refugees clogging up their city, hence the Domans having to go to Mor Dhona instead of Ul'dah, and many of the people who try to find new homes in Ul'dah end up in camps outside the gates or in the dirty back allies. It's not a "open" place to outsiders. For example, they don't even allow beast tribes into their city at all, so there's a pretty clear bias against the "less civilized," you might say. Meanwhile, Limsa Lominsa is essentially still a pirate community, built on rogues and outlaws and those who have long been unwelcome elsewhere. Even some beast tribes are permitted to freely enter Limsa Lominsa, and although the admiral also wasn't able to take in the Doman refugees, there is a lot less of an "outsiders are unwelcome" feel to Limsa. Makes the most sense to me.

As far as a job, going from Paladin to Dark Knight does have a classic feel to it, but to me, Warrior suits Xaela much better than Paladin. The WAR armor definitely looks better on Xaela and the WAR story--all about conquering your inner rage--dovetails really nicely with the DRK storyline of your inner darkness. Being based on Mongolians and having a strong tribal background, I can't really see a Xaela suddenly deciding to fall in with the Sultansworn and follow the regimented and stiff lifestyle of a Paladin. (Just thematically, paladins are based on very Western tradition, whereas Warriors seem to have a more primeval warring nation basis.)

The 2.55 plotline is a little more engaging/emotional if you did start in Ul'dah, and the events that happen with Raubahn are definitely more emotional if you are with the Immortal Flames; however, Thancred to me didn't play that massive of a role in later patches, as far as I recall, while Y'shtola's role is emphasized more in HW content, so having her as your starting scion could be nice. I think it's good to remember that you'll get to experience the 2.55 story line the same regardless of where your character starts and their GC, so the only thing you might miss out on is a tiny bit of extra emotional connection to the sultana and Raubahn if your hometown was Ul'dah. Since you are going to experience the same betrayal and plot events, I think transitioning into DRK after 2.55 will make sense regardless of where you start.

And as far as style goes, the Maelstrom outfits win by far. I'm not even with the Maelstrom myself and I think their clothes are definitely the best. The Immortal Flames colors are really all over the place--they range from olive green to dark blue to purple. If you are like me and concerned about matching colors and looks with your character, the Immortal Flames' lack of consistent theme color might really frustrate you. (Only thing I dislike about the Flames. XD)

I don't know if that helps, but yeah, my vote is Limsa and Maelstrom (even though I'm from Gridania but joined the Flames lol).