Most of the ports have pens.
You can start in any of those locations. At the start of a new game, scroll down on the "choose a boat" screen. You'll see several options. I DO NOT recommend starting anywhere but La Rochelle or La Spezia, however. The entire black sea, greenland sea etc are complete dead zones, no ships to be found other than heavily spaced out warship patrols. For merchant targets, stay in the Atlantic or southern Med.
Happy hunting!
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