Coaching over the phone or face-to-face?
There is no problem with your coach being in another town altogether. To receive coaching over the phone has the advantage of you being able to be more open and that it is quicker to get each session started. In fact, coaching takes place much more often over the phone than it does face-to-face.
On the other hand, many people find it pleasant to meet at the beginning for reasons not the least of which being to establish a personal contact and to put faces to each others names.