I don't think "avoid playing in places without mega-venues, because otherwise our self-choosen pricing policy will make us look bad" is a particularly clever approach. (not to mention that doing so will drive up the price for events in places with such mega-venues)
People accept the logic that smaller facilities = more restricted capacity = higher prices in pretty much every other context.
A Ferrari dealership has to turn away the vast majority of folks who want to test drive their cars, a B&B, or boutique hotel has to turn away customers, or price rooms very highly, on a busy weekend, etc.
