Of these four places, Georgia would have been impossible during the reign of Charles I because it was not even created until long after Charles I was dead.

Of the other three, the most likely place for a person who opposed Charles's ideas would have been Massachusetts.  The reason for this is that the people who tended to oppose Charles on religious grounds were Puritans.  The Puritan (Congregational) church was the established Church in Massachusetts but not in either of the other colonies.  Therefore, someone who was opposed to King Charles I on religious grounds would be most likely to go to Massachusetts.