Federal Rules of Criminal Procedure ... TITLE V (VENUE), Rule 18 (Place of Prosecution and Trial)
See the notes below the main rule:
All prosecutions for crimes or offenses shall be had within the division of such districts where the same were committed, unless the court, or the judge thereof, upon the application of the defendant, shall order the cause to be transferred for prosecution to another division of the district. The word "prosecutions," as used in this statute, does not include the finding and return of an indictment.
Check out the Handbook for Federal Grand Jurors, and what it has to say about the jurisdiction a Federal Grand Jury:
"District: The geographical area over which the federal district court where the grand jury sits and the grand jury itself have jurisdiction. The territorial limitations of the district will be explained to the grand jury by the district judge."
http://www.ndd.uscourts.gov/jury/jury_handbook_grand_jurors.pdf
Seems clear that the Grand Jury can only have jurisdiction over the district in which it sits.