Yes, the FIR can be got recorded at any police station, irrespective of where the offence took place.
F.I.R. means First Information Report, made to police, about commission of a cognizable offence, In effect, it amounts to putting law in to motion by giving information relating to the commission of a cognizable offence to an officer in charge of a police station, (which shall be reduced into writing and read over to the informant) and shall be signed by the person giving such information. It is mandatory to give a copy of the first information report (as recorded by police) to the complainant or informant free of cost.
Any person who is victim of an offence or who is a witness to any such offence or who has knowledge about the commission of any such offence can lodge an F.I.R.