You should keep the witness server in the same site as the principal database. The main reason for this is having the witness on the same site as the secondary in the event of failure would halt transactions on your principal.
From the mirroring best practices:
Loss of the mirror and the witness
Assume you have configured database mirroring with a witness. When the mirror is unavailable, the principal runs exposed. While the mirror is unavailable, if the witness is also lost, the principal becomes isolated and can’t service the clients. Even though the principal database is running, it is not available to the clients. If you attempt to connect to the database, you get the message “Database <dbname> is enabled for database mirroring, but neither the partner nor witness server instances are available: the database cannot be opened.”
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