I found this information somewhere else. I think I will follow:
Not everyone is eligible to adjust to immigrant status in the US, so they're hoping you'll save them the time to look it up if you're not. Plus, if you get it wrong, they'll send the petition to the nearest USCIS office rather than one of the embassies overseas, and you and your relative will lose considerable time waiting for them to figure it out. So, believe it or not, it actually is for your benefit to answer that question accurately. If they ask you for the city and state, then yes, you have to put it down. Why wouldn't you? Some states have more than one USCIS office and again, you wouldn't want them to send the petition to the wrong place.