It's really just in terms of NPC distribution. It's a story element that a lot of refugees from the Calamity and the fall of Ala Mhigo before it ended up in Ul'dah, and the main hub of Ala Mhigan Highlander refugees- Little Ala Mhigo- is south of Ul'dah. Geographically speaking, Ala Mhigo is separated from Thanalan by the region of Gridania, but you don't see many Highlander NPCs there outside of a few in the village of Quarrymill- this is most likely due to the highly xenophobic culture of Gridania. They wouldn't want to be flooded by refugees from anything, and thus the Ala Mhigan people ended up having to pass on through to Thanalan instead. But there are Highlanders in every city-state- they just occur with greater frequency in Ul'dah.
