Beyond the Wall sounds good, gives us a good number of umgi to uplift if we find them worthy... the Thenns still know some runecraft, there's magical creatures aplenty and the Giants/Skytitans will probably be actually amiable for once.
Also a lot of volcanic activity up there, with hot springs, so a good means to keep the holds/'decent umgi' allies, warm over true winter/de-ice the fields.
And the black brothers would probably let us through half as a joke, but also because they wouldn't be able to stop us tunneling our way through anyway.
The main issue would be the wildings. And I'd rather expand our new Karaz Ankor (fit with more reasonable fertility bonuses) north of the wall, rather than starting there, as we'd need umgi support to fend them off in our early years otherwise (and we can't risk casualties with our pop lower than most lesser holds) as such I can see a northern start involving a lot of partnerships with the Watch (rare parts, resources, bolstering colonisation attempts, in exchange for equipment and reliable support), and the mountain/hill clans