Here's a multiple choice question for you.
Let's say you want to write a story set in an English village during World War II. This time period is recent enough that many still remember it. Do you:
a) Choose a village that is already on the map, research it, and hope you don't get anything wrong
b) Make up a village name and use a conglomerate of villages to "build" your own town
c) Say the heck with it and just set it in London
What I'm getting at here is a question that has been a part of the historical fiction writing world for a long time. If you're writing a historical, just how accurate do you need to be? There are some purists who refuse to use made-up places, insisting that if it's "historical" than that place really needs to exist.
The other side of the coin gives you more leeway. To use our example above, using a made-up village enables us to be completely free of error - i.e. you're not going to have anyone calling you up and saying, "But the village bakery isn't on that street!" or what-have-you.
This is a bit different when you get to bigger locales, however. Using major cities as locations is much easier. You have access to a lot more research, and though chances for errors are still possible, they're not as easy to make.
But...if you're writing a historical, are you cheating the reader by setting it in a fictional place?
What do you think?