"That has haunted me. I've done Palmerston North six or seven times and I've even done Levin for goodness' sake."
However, Williams is actually a big Whanganui fan.
As someone who was fascinated by small-town New Zealand and obsessed with weird stories, it was a bit of a mecca.
"I love Cooks Gardens and the [Durie Hill] elevator obviously, and then there's the story of the Wanganui Computer bombing," Williams said.
"Tragically, that was the site of New Zealand's only suicide bombing. Whenever I bring a crew to Whanganui, I have to drive past that building and tell them the story.
"It's just fascinating. There was a police computer in Whanganui in the 1980s like something out of a James Cameron Terminator film, and then this guy tried to blow it up but only managed to blow up himself."
In 1982, anarchist Neil Roberts attempted to blow up the National Law Enforcement Database, known as the Wanganui Computer, with a homemade gelignite bomb, killing himself in the process.
Williams said one of his favourite comedians growing up was Dave Wiggins, who now lives in Whanganui.
Wiggins is the co-founder of events company Hello Comedy.
"I always admired him. He's getting the comedy scene humming and there are a number of good venues."
Ticket sales for his own Whanganui show were going terribly, Williams said.
"I'm doing this tour in a bunch of similar towns and all the other ones sold 150 tickets on the first day. In Whanganui, I sold 13," Williams said.
He didn't want to downsize the venue because the war memorial centre was an iconic piece of New Zealand architecture.
"Honestly, I'm off to a shocking start. Sales have been 10 times worse than any other venue, and they're even lower than Blenheim which only has 80 seats.
"If I could have booked the Whanganui Computer Centre I would have, but this is my second choice.
"It's a law office now so they probably have a boardroom with about 20 seats in it."
As for the show itself, it was quite political and "a little bit offensive".
"When people say they like offensive comedy, they mean comedy that's not offensive to them," Williams said.
"My parents claim that everyone gets too offended these days but then they're upset by the word 'boomer'.
"I want to try to be offensive but also punch up. Hopefully, I'm punching the powerful and not the weak. That's the dream, anyway."
Williams brings the "I Gotta Move a Car" tour to the Whanganui War Memorial Centre on November 27. The show begins at 7.30pm and is R16.
The Chronicle has three double passes to the show up for grabs. To go in the draw to win one, answer the following question.
Who was the Whanganui rap group Guy Williams visited for New Zealand Today in 2018?
Email the answer and your name to michael.tweed@nzme.co.nz or drop in your entry to the Whanganui Chronicle office at 100 Guyton St.