The Things That Should Not Be series focuses on each major direction in Creation. The Unraveling is sort of the exception to that. Your character can be from anywhere in Creation. Sidereals are unique in that their Exaltation happens at the moment of birth and they grow up semi-normal, always moving towards their Fate. Ultimately Agents of Heaven attempt to retrieve their new brother or sister as soon as possible and from that point on the Exalt grows up and trains in Heaven (Yu-Shan). Pay special attention to your backgrounds, as they will heavily shape your story, mechanically and thematically.
As a point of insight, your Sidereal will most likely visit each of the directions at some point during their story.