Cincinnati
I wanted to say Cleveland, which would bring back yet another classic nickname - the Barons. But since Cleveland already has three teams in the four major North American pro sports leagues and Cincinnati has only two, southwest Ohio wins out.
Of course, one reason Cincinnati would be a good landing spot stems from a potential rivalry with the Columbus Blue Jackets. Columbus is rebuilding their organization, and the Coyotes are in the same situation, so this rivalry would kick off immediately.
You could argue that the Cincinnati team could stay in the Western Conference and in the Central Division, but it would still make sense to realign and bring the Blue Jackets into the West for this rivalry to commence. If Cincinnati - who does have an ECHL team - was ever on the radar, why not just move the Nashville Predators to the Metropolitan Division, where they could start a rivalry with the Carolina Hurricanes?
As for the nickname, let’s just keep Coyotes, as Cincinnati has an abundance of them in and around the region. Plus, Cincinnati Coyotes not only has a good ring to it, but it also keeps up with the animal theme of the NFL’s Bengals and the NCAA’s Bearcats.