To get the Tilting at Windmills achievement in State of Decay 2 do the following:
You'll have a few chances to unlock this. Anytime you start a brand new game, you can select where you move to near the end of the tutorial. If you don't settle in this area for your first settlement, you can move there later when you've upgraded your headquarters to a level 2, which then lets you seek out other territories to move to. These territories will always include the two others you aren't currently living in.
You can also create up to three saves at a time, so you could quickly run through the tutorial three times to get each corresponding location related achievement before settling into one as your true playthough.