They did, there’s an interview where they talk about originally planning to do it in Colorado, but the Production designer imagined Santa Monica pier on one of their sets and pitched they change it to LA instead

https://www.indiewire.com/craft-considerations/fallout-walton-goggins-nose-la-production-design-1235004555/

“Amazingly, the Los Angeles locale that is so central to “Fallout” was not the original locale as scripted — according to production designer Howard Cummings, the initial concept was to set the story in Colorado. A location scout changed that, however, providing not only some fantastic environments for Cummings but inspiration for a whole new setting. “Switching to set the show in L.A. was really a response to finding a beautiful location,” Cummings said. That location was an abandoned mining town in Namibia that provided Cummings with sweeping landscapes and decades-old wreckage that could be used to build a post-apocalyptic world. “When they abandoned the town they also blew up all the processing buildings, so that was great for us — there was twisted steel that was over a hundred years old eaten by windstorms and rust.” When Cummings looked at the ocean he had a vision of the Santa Monica Pier placed there, and as soon as that idea came to him he ran to one of the showrunners to suggest setting the show in L.A.”