While you can incorporate in "England and Wales", I think you need to decide on one or the other for the registered office.
Ok, now I'm not so sure about that... the Companies House website seems to suggest you can have "England and Wales", "Scotland" or "Wales" (although strangely, not "England"), whereas the Charity Commission website seems to suggest you have to choose between either "England" or "Wales" (things are slightly different if you want to incorporate in Scotland). Companies House is probably the more reliable source, but someone should probably clarify it...