What? That's ridiculous. No matter where they set the next game there's a similar amount of work involved.
No, I do think that there's a bit more work if it's set in most other countries; they'd have to replace a lot of the classic Fallout groups, invent new lore (or at least flesh it out for the other country), etc. I don't think it's necessarily impractical. I just see it as having a few extra blanks to be filled in than a US (or, at least, North American) setting.
I also think that it's easier for people to work with what they know best. Though I can easily see them racking up frequent flyer miles doing research on places like Paris or London, or wherever. Yes, there's online info, photos, film, etc. But none of that compares to actually being there, and experiencing an environment.