Most people are going to say "Learn in the conditions where you live" even if it's cold water, which I agree with in principle, but I probably disagree on how you should get there.
IMO, with decades of experience teaching complex skill activities, I think your initial training in diving should be in the easiest conditions possible. This mirrors how any other skill activity is taught, whether its music (what I teach) or sports like gymnastics. You always start with the easiest environment and build confidence with the basics, which then allows you to train in a more difficult scenario.
So, I'd say take OW in the caribbean, maybe a place like Roatan or Bonaire, then do a few dozen nice easy warm water reef dives. When you are comfortable with that, you can train, maybe take AOW and do some dives with mentors, in the more demanding dive conditions of cold water.
Starting the training of any skill activity, especially one that has an element of risk and some potential fear, in a demanding environment just doesn't make sense in terms of general learning principles.
I would argue that the majority of people posting here on SB are exceptions to the rule as far as beginning students' abilities to tolerate (and enjoy) learning in difficult conditions. I would venture a guess that this practice is a contributing factor to the statistic that only about 10% of certified divers continue diving regularly.
Now, it's true that my plan means additional training, which some people are not going to go for. But those that do will be likely to have had a more enjoyable and confidence building experience with their dive training.