I think Boston makes the most sense, since it is the official starting point, and the capital City.  If you say "Massachusetts" it could indeed refer to other roads with that name, in other towns.

I'm pretty sure Massachusetts Ave. Starts in Dorchester, not Roxbury.  It is at the intersection of Dorchester Ave. Check out Mapquest.  It then goes through the Newmarket District, then Roxbury (until Albany Street),then it becomes South End, Then Back Bay, then Cambridge.    16:11, 24 Oct 2007