Yemen would have been a 3800-mile flight from their last known position. A little closer than Mogadishu.
Of course, the Great Satan has relatively good coverage of Yemen as well as Somalia. Yemen was home to Mooselimb cleric Anwar Al-Awlaki, author of the instruction manual for the Boston Marathon bombings. He was killed by a Hellfire missile launched by a guy sitting in an office chair.
Somewhere in Bangladesh or Pakistan would seem to be a more discrete destination.