Death in Medina

Narrated Zaid bin Aslam from his father:

عَنْ عُمَرَ ـ رضى الله عنه ـ قَالَ

اللَّهُمَّ ارْزُقْنِي شَهَادَةً فِي سَبِيلِكَ، وَاجْعَلْ مَوْتِي فِي بَلَدِ رَسُولِكَ صلى الله عليه وسلم‏.‏ ‏

Reference

Sahih al-Bukhari

Hazrath Umar ‎ t prayed,

O Allah! Grant me martyrdom in Your cause, and let my death be in the city of Your Messenger (peace on him)  ‎.”

The short answer is, yes, it is praiseworthy to ask Allah  for a death in the city of His Final Messenger Muhammad (peace on him), the illumined Madinah.