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A pilgrim has to offer hadi (sacrificial animal) if he performs tamattu` or qiran types of Hajj or if he misses an obligatory part of Hajj. The hadi is slaughtered in Makkah, not elsewhere.

Focusing on your question, the late Sheikh Ibn `Uthaymeen, a prominent Saudi Muslim scholar, (may Allah shower mercy on his soul) states:

This is a mistake that goes against the Shari`ah of Allah and is considered as an act of deception. The place where the hadi should be slaughtered is in Makkah because the Messenger of Allah (peace and blessings be upon him) slaughtered his hadi in Makkah, not in Madinah or in any other place. The scholars have stated that and said: “It is obligatory to slaughter the hadi of tamattu` Hajj and qiran Hajj, and the hadi offered to compensate for missing an obligatory part of Hajj, in Makkah. Allah says about the penalty for hunting in the state of ihram, (the penalty is an offering, brought to the Ka`bah, of an eatable animal (i.e., sheep, goat, cow) equivalent to the one he killed) (Al-Ma’idah 5:95).

If a specific place is mentioned, it is not permissible to change it to somewhere else; rather it must be done in that place. So the hadi must be slaughtered in Makkah and distributed in Makkah. If it so happens that the pilgrim cannot find anyone to accept it in Makkah, which is an assumption that may be impossible, then there is nothing wrong with slaughtering it in Makkah and sending the meat to anyone who needs it in the Muslim lands, the closest then the next closest, or where the need is greatest.

Excerpted, with slight modifications, from: www.islam-qa.com