The start up I'm involved with just went through this and based on our experience, I would suggest having the entity in the market where you see the most potential. Having one entity operate in both countries introduces a lot of tax complexity and can be challenging from a cashflow point of view as you are paying taxes in both countries and although you can claim some of the tax you pay back, it is months later.
Having 2 separate entities, one in each country, has it's complexities too. Specifically when it comes to intellectual property. You have to be really clear on which company owns any IP and if both companies are going to use the IP, there needs to be a formal agreement between the 2 stating such plus the terms involved.
And lastly, if you're looking for investors, think about which country you will find them. Most start-ups don't have the luxury of lots of interested investors, so if you have any complications around the 2 entities, agreements with IP, and so on, that might be enough of a reason for an angel or a VC to stay away.
My advice, pick the country you feel has the most market and investment potential, start there with the expectation that your international expansion would be well down the road.