Ul'Dah so far definitely has the most central plot points to the story, so it would make sense for the player character to be more invested in those plot points if he/she started there.
Ul'Dah has you interacting with Thancred early on, which helps establish him as a memorable character, but you do lose interactions with Yda. Y'Shtola is a major part of your interactions for the ARR story leading up to fighting Titan, so you interact with her a decent amount even if you don't start in Limsa.
Ul'Dah is also the scene of the major plot points at the end of ARR leading into Heavensward, it introduces the issues surrounding Ala Mhigo and its refugees, its where the Domans initially made landfall on Eorzea, and it's probably the city state with the closest political ties to Ala Mhigo in the post Stormblood story. So it would make more sense if the player character started there for those connections to exist.
After that, I would say Limsa since you do interact with the Admiral a decent ammount, I feel like I remember several meetings with her in the Heavensward story quests. Gridania is probably the one that has had the least impact on major story points. However, every city state is perfectly viable to start in since they do a decent job homogenizing the story regardless of starting city the further you get into the story.


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