Where do I file a complaint when exchange done through western union between states?

A girl a while ago instant messaged me through the internet. I talked with her for some time, although she was posing herself with a fake name. She said she desperately needed to borrow some money to pay for rent so I said I would lend it to her via western union, but since she didn't have an id, she said, she asked if I could send it to her cousin. Well, it turns out that she was indeed using a fake name, and the cousin was really her. Now she doesn't want to pay back. When I file small claims, does it need to be in PA, where I live, or OH, where she lives? I guess my question is I don't know where to file complaint, since the transaction occurred across state lines (from PA to OH).