I can't find detailed information on the McDonald's website (or elsewhere) about where their potatoes comes from, but they use Russet Burbank potatoes, which are the most commonly grown variety in Idaho. And Idaho is, of course, the country's largest potato producer. I think it's safe to say the vast majority of the fries they sell originate very far away.
On the one hand, the fact that McDonald's wants to sell its food as local is a positive sign. There's enough public interest in local eating that the big companies are taking notice, and this isn't the only example. But there are still lots of other, less misleading things McDonald's could do to mitigate its effects on the environment. New diets for their cows would help.