Without going too much into the story and spoiling anything, Limsa Lominsa would be the best fit for a Xaela lore-wise. Ul'dah would be second-best, and Gridania would not fit at all. Limsa is a cove for all sorts of people, many of them illegal, some of them hiding away from others. Your Xaela could easily have just happened to stumble upon the perfect place in which to disappear into the crowd. And of course, it's a sea-faring nation, so it's far easier to get into.
Ul'dah's story largely deals with immigration, actually. Depending on how much background you put into your character, there's some interesting head-canon that you could make with this. S/he could see some of the issues and, being an immigrant herself, strive to make an important difference (ironically, it's strongly hinted that you do this intentionally anyway, if you start in Ul'dah), or maybe feel like too much of an outsider and decide to do more adventuring. The Au Ra that was in Little Ladies' Day (I forget her name) had an immigration story, if I remember correctly...unless I'm confusing her with the Miqo'te.
Gridania is the least-accepting of new people. While it doesn't exactly shun them, learning of its relation to other nations and how it came to be doesn't paint a pretty picture of it. It's mostly people that have fallen out with Ishgard and both shun and are shunned by them, and then they continue to give a cold shoulder to those around them. Heck, I still question how you can even be allowed to get a hunting log in there, since they all but drag poachers to the guillotine.



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