The title Fargo has a nice, evocative sound to it. If the Coens had titled the movie Brainerd or Minneapolis it just wouldn't have been the same, even though more of the action takes place in those places. But "Fargo" feels like the name of an outpost at the end of the world. It had the appropriate vibe.
Also, the movie begins with a trip to Fargo: it's where Jerry goes to make the deal with Carl and Gaear to kidnap his wife. So it's the center of the most fateful decision in the film, the place from which the ensuing mishaps all emanate.