It seems that halachically this isn't a problem. Chaba"d shlichim (emissaries) go to places that have no Jews and start a Chaba"d. Rav Binyamin Kamenetzki, a"h was encouraged by his father (Rav Ya'akov, a"h) to start a new Jewish community in Long Island. (My understanding from speaking to him is that there were NO Jews when he first developed his yeshiva. There were a few in a neighboring community.)
However, I think you can learn an excellent example from Kinyan Torah (Aka, 6th "chapter" of "Pirkei Avot") Mishnah 9. Rav Yose ben Kisma makes it clear that a person should live only in a place that has Torah, and should not be lured to live in any other place even if offered astounding wealth. In other words, it doesn't appear to be encouraged, if one has a choice.
On the other hand, Hillel, in Pirkei Avot 2:5 says that "In a place where there are no men, strive to be a man." I.e., that might imply that if you think you can establish a Jewish community somewhere, you should try to do so.