In the UK we are supposed to fly cross country (when below the transition altitude) with a regional QNH set.
In Class G airspace you can fly on any altimeter setting you want (unless complying with the semicircular rule). It makes a lot more sense to fly on the QNH of a nearby airfield for a number of reasons, one of them being that the base of controlled airspace (when an altitude) is with respect to the controlling aerodrome QNH. The threat of flying on regional QNH below controlled airspace is that you might infringe the airspace as by definition the regional QNH is the lowest pressure in an area.