Research the curriculum, the faculty, and what past fellows have done post-fellowship. Pick out the features of the program you are interviewing with that appeal the most to you. Rather than discussing a simple convenience like location, give your answer some substance to show you are truly interested in joining this fellowship program. That being said, if you have family or connections in the area, it is okay to mention that too!

"I researched a lot of programs when deciding where to apply, and your program is the complete package. You have a world-class faculty that I'd be honored to train under. For instance, Dr. Hall's research on XYZ is exciting, and I would love the opportunity to contribute to it. I also admire your department's involvement in the community. The other aspect of your program I found appealing is the focus on helping your fellows develop their own unique paths in research. I love that some of your past fellows have gone on to become distinguished and well-funded researchers, which is something I aspire to do as well."