They're pretty vauge about it, they say that the Yokai are from a distant land so they could be from any corner of eorzea. Doma maybe? because of where the starter NPC comes from but... we have Yugiri still hide her face around your character if it's an au ra so who knows. They made the right call having it be a random Au Ra rather than Nate from the series with his friends. That'd be bizzare even for fantasy game standards.