Well, seeing as I'll be off of school in the summer and my house is only about an hour from the 'Burgh, you can guess where I wouldn't mind having it held.
There's something you guys are forgetting. If I remember correctly, Pittsburgh is a cathedral city (or whatever the term is in the East - I'm still new to this) for at least two jurisdictions: GOA (yay, Bishop MAXIMOS!) and Serbian (still not sure of the Bishop for them. I should ask one of my friends).
And thank you very much for the offer, but this catechumen does not want to be baptised in any of the Three Rivers. Too much of a health hazard, not to mention the undertow, the random debris, the trash, the dead bodies (j/k!), and the rather large catfish. Of course, this assumes that I would need to be baptised again. I'm still a little iffy on that point, as in "I honestly have no clue".
Well, enough rambling. My vote is for Pittsburgh.
And seriously. Why is NY in the lead? I love the city, but it is waaaaay too expensive.