You are correct. You can take your first PE exam in any state that allows you to sit for the exam without first applying for licensure, then transfer that to CA board.
To me, fyrfytr310 is taking his/her first PE in CA.
If you are looking for CA PE as your first PE, you most likely ended up going to CA to take the exam. Sure there are some work-around you can argue with such as going to your neighbor state who does not require an application before sitting in the exam... BTW other than CA which states can you sit for PE exam without applying first? Very curious and it will be very helpful if you share this information for other people in similar situation.
I believe most of the time you will choose your own state for first PE. When looking around to other state for first PE, it usually means you are not qualified in your own state and you need that PE credential.
Try to sit for the PE exam in your own state first. If you don't meet your own state's requirement, then I will recommend check out CA. CA is very friendly to people who don't have an ABET BS degree but an ABET MS/PhD degree.