It was asked at one point and they said no, there is no way to switch allegiance (and I don't think they have plans to change that, either). So choose carefully.

It was in an interview somewhere. Sorry for not linking the source. >.<

Considering there is no bonus for whichever city you choose and travel is relatively easy, the biggest factor in choosing a starting city is the story. I gave all three a trial run in OB before settling on Gridania. Like many people, I dislike the Black Shroud and don't spend much time questing or doing leves there. But I like its storyline best.