We started at Tokyo ?

“We started at Tokyo.” Is “at” correct ?
And if not, what if the start would have been in a province, would “at” have been correct ?

‘We started at Tokyo’ may be correct. It depends on the context. However, it is far more likely, and therefore more common, for ‘in’ to be the appropriate preposition.
Other possibilities are:
We started outside Tokyo.
We started on the outskirts of Tokyo.
We started on the borders of Tokyo.

The same applies if speaking about a province.

We started outside Tokyo.
We started on the outskirts of Tokyo.
We started on the borders of Tokyo.

Splendid!