Their FAQ at http://www.alphalab.org/faqs.aspx suggests you have to stay in Pittsburgh, which is smaller than Pennsylvania. Even the option to move to Philadelphia would make this more attractive.
On the other hand, their About page at http://www.alphalab.org/about.aspx says "As Innovation Works utilizes funds from the Commonwealth of Pennsylvania, each company receiving funding is expected to maintain a significant presence in Pennsylvania after the program." I guess you would have to ask them for a clearer response, but perhaps they would be OK with anywhere in PA.
