In Assassin's Creed III, the opening sequence featuring Haytham Kenway is set in London.
The game begins in 1754, with Haytham attending a performance at the Theatre Royal in London's Covent Garden. After a theft and a confrontation, he begins a mission that leads him toward the wider conflict later explored through his son, Ratonhnhaké:ton, also known as Connor.
Most of Assassin's Creed III takes place in colonial North America during the American Revolution, especially in Boston, New York, and the surrounding frontier. That later geography can make Boston seem like the answer, but Haytham's introductory chapters occur in London before his voyage across the Atlantic.
London therefore identifies the game's opening setting, while Boston and New York are central locations in the later colonial chapters.