Each of the cities you have mentioned are major centres for Civil Services Examination preparation although most of the aspirants end up in Delhi. With lots of aspirants from Delhi University, JNU and IIT chase the Civil Services dream; more than anything else, presence of well-established names in IAS coaching makes Delhi top-of-mind.
But, before you plan to move out, we suggest you to understand the requirements and commence preparation with self-help.
You can order books and study-material, discuss your problems on-line; with lots of awareness around, you can get all preparation related information sitting at home on click of a button.
Once you feel you have a solid base, you can think about migrating to any of these places so that in minimum time-span, you are able to catch up with the requirements and your preparation match up with the level this examination entails.