Agreed, when I married and adjusted my status the goal was to live together as a family and my significant other would not want to live anywhere else other than the US. The goal wasn't getting citizenship. Frankly, if there wasn't a big change in immigration I might have remained LPR due to already strong citizenship I have.
The way OP said it definitely sounded off... I'm sure if OP's gf wasn't from Australia, but from Pakistan or Nigeria saying the same, everybody would smell fraud. Double standards IMHO.
If OP's gf said something like that in consular interview or during adjustment of status interview, they're almost guaranteed a denial, like 99.9%
Hopefully, the intentions are pure and it's just not well thought through question.
To the question: you can marry in Australia, you can marry in the US or you can marry anywhere else as long as it's legal. It may depend on where the family from both sides can travel to celebrate. It may depend on how easy it is to get paperwork in the future (certified copies of marriage certificate etc).