Slightly inspired by reference to first fleet landin in WA, could Britain have put penal colonies anywhere that became the US after 1783. I know that Spain and later Mexico claimed huge tracts of land but not how effective that was.
It works if the POD is 1783 and the British keep Florida. They had taken it from the Spanish and occupied it from 1763-1783. They could make it into their version of Devil's Island.
That would be a death sentence in all but name; we could have done that with the West Indies in OTL but to be honest I don't think people would have stood for it (you can send soldiers there, but criminals? )
Britain did send convicts to the American colonies before the 1770s (one of the colonists' grievances, and why Australia was needed after the ARW) but there weren't any dedicated penal colonies to my knowledge.
But that would be too near to the US - a penal colony is no high security prison; it relies on the fact that its far away from home and from civilisation to keep people in.The area of northern Florida isn't that different from GA.
Let's assume they want to do that, and for some reason don't think of Australia, or want something besides that...
It obviously would be a bad move having them neighbouring with the USA, as this would be a natural escape route; I don't think that a penal colony program is worth getting into a conflict with Spanish or Russian claims, you don't want Canada - in that case, the only area I can think of is Oregon. There were also Russian, Spanish, and US claims, but Britain claimed it even in OTL, so a penal colony might have been used to enforce the claim.