You'll probably find Hawaii a little more expensive. Hawaii will also offer far fewer options for training, particularly with types of terrain, destinations, etc. If you're strictly after getting a private pilot certificate and don't plan on going beyond that (commercial, etc), then there's no reason not to go enjoy your time in Hawaii. If you're interested in advanced training at some point, then doing your training where you can have exposure to busy airspace, different climates and terrain, etc, may be more to your advantage.
If you do plan on going beyond the private, you can always go do the private in Hawaii, then do your other training elsewhere at a later date, too.