They could go to France. France has a rich magical history and a large wizarding community. It would be a place where they could blend in and also learn new magical techniques. The Beauxbatons Academy of Magic is there, which could offer a different educational environment if they had children.
Another possibility is that they go to Scandinavia. Places like Norway or Sweden have their own magical traditions. The secluded nature of these countries could provide a safe haven for them. They could live in harmony with nature and explore the unique magical aspects that these regions have to offer, such as the magic related to the northern lights or ancient Nordic spells.
One possible reason could be to escape the danger in England. Given the dark forces that were at play, especially Voldemort's rise, they might have felt it was safer to leave. Another reason could be for a fresh start. Maybe they wanted to explore new magical cultures and communities in other parts of the world.
Maybe Harry leaves England to explore the wizarding world in other countries. He could go to France to study different magic spells at Beauxbatons Academy. Or perhaps he travels to America to help the MACUSA (Magical Congress of the United States of America) deal with some dark magic threats.
He could meet new witches and wizards from different cultures. For example, he might run into a powerful African wizard who has unique magical abilities related to nature magic. Or he could meet a Japanese witch who specializes in charm - making that is based on ancient Shinto beliefs.
Perhaps it's a completely new character, a powerful and mysterious wizard who came into Harry's life. Their encounter led to Harry's pregnancy, and the fear of this unknown wizard's intentions and the reaction of the English wizarding community makes Harry leave England.
One possible plot could be that Harry Potter discovers he is pregnant (through some magical means perhaps) and decides to leave England because he wants to protect his unborn child from the dark forces that still lurk in the country. He might go to a far - off magical land where he can raise the child in peace and secrecy.
In a parallel universe fanfiction, the universe has shifted in a way that allows James and Lily to meet Harry. This could be due to a powerful spell gone wrong. James and Lily are alive in this universe and are curious about Harry, who seems to be from a different reality. They learn about his struggles against Voldemort and decide to help him, and together they work to find a way to fix the rift between the universes.
They could have adventures exploring different realms of heaven. Maybe there are places full of magical creatures they've never seen before. They might be on a quest to find a special kind of magic that can help Harry in some way, even from the afterlife.
Lily may focus on taking care of herself during the pregnancy. She'd ensure she has proper medical care, eats well, and gets enough rest. This would be a way for her to take control of the situation in a positive way. Also, she might consider reaching out to her family for help, if they are on good terms. They could provide practical assistance like helping her find a suitable place to live if needed.
Petunia could be an important character. She might be grudgingly attending the wedding, still having mixed feelings about Lily's magical world. Her presence could add some tension as she struggles to fit in. And then there's Dumbledore. He could make an appearance and give some wise words of advice to the couple, perhaps about the future challenges they might face together.
One of the main themes is loss. With Lily leaving James, there's a sense of something being broken in Harry's family. It's about how Harry deals with that void in his life.