It could be cool, but they've already kind of ruled it out (as far as short-term plans go, at least). They've said the three main suggestions they get from fans are ancient Egypt, Japan, or a WWII setting. And they've said that none of those interest them.
In regards to Egypt specifically though, I think it's wise of them to pass on it for now. It's maybe a little too close in style to Prince of Persia, which was the AC studio's prior series of note. And besides that, it might be hard to justify Egypt from a story perspective, since the actual Assassins Brotherhood wasn't formed until the ten or eleven hundreds, well after any point where Egypt might seem relavent. Going back any further than that might start sending the series down the road of retcons, which is pretty undesirable.
I remember seeing chinese letters in the revelations I think in AC2, I think a setting during the opium wars would be interesting