We have mixed and matched. Dd1 went to local preschool, was only one to go to her school. About 2/3 had been to the nursery, but she settled in quickly. Some of the children who had been to the nursery didn't get places, their parents were really upset that their child had to move and break up friendship groups, cos people like me lived closer! This was the main reason why we didn't send dd1 there, because I felt it would be hard explaining to a 4 year old why her friends could stay and she couldn't. It was hard enough explaining why the children at preschool were all going to different schools.
Dd2 we knew would get a place so she went to the school nursery, and hated it. We were happy, and it seemed nice, most other children were begging to stay longer, but she just didn't enjoy being away from me and basically interacting with other children. I was concerned (as were the staff) about how she would settle into school, but she loves it. If she had been in a different place I would probably have been glad of a new start, but she also doesn't cope well with change, at least there she knew all the routines, and was proud to show off her knowledge to the 'new children'.
Ds will go to dd1 preschool first then move to school preschool once he is old enough and there is space. I think he will love it, as he already acts as if he owns the school anyway.
After all my ramblings, I think it can help with the transition and knowing the ropes etc, and it is nice to be involved with the school and dd1 was able to pop in and visit dd2 who was next door. I know that if a child is upset then they will send for a sibling.
I think though that for a first born, unless you are fairly sure that you will get a place in the school, it adds an extra layer of stress for you in applying, and for your child. Also if dd2 had been our first we might have been tempted to go to a diffferent school, whereas actually they both love the school, and other things have emerged along the way which make me think she might have found it tough wherever she went. Do check with the school, you probably will find that quite a large proportion stay, because siblings often go there and then get places in the school. New faces though are generally more exciting at reception level (dd2 friends are 'new'). If you can ask if they have any info on how far away the furthest admitted to reception was etc so you have an idea for your chances, but I think unless you live next door and there aren't many siblings, I would be tempted to go to the other nursery if you like it better. It really won't affect whether you get a place in reception.