With places, we use in when we want to talk about a person, object or event inside a place. e.g. My Sister was born in Scotland. He plays football every Tuesday in Madrid. We ate pizza in a restaurant.
We use to when the sentence involves travelling to a place. e.g. He went to the hairdressers. I´ve never been to Tunisia. Let´s go to Mexico.
She wants to fly to Stockholm (travel by plane to Stockholm), because her brother is studying in Sweden (her brother studying is an event within a place).
I hope this helps, if you have any more questions, you can contact me via my italki page.