This is a good idea.
"Colonial Palace" can be a small wonder, and you can only build it after you've discovered Magnetism, and have a city that is over 30 tiles(?) of ocean from your capital. This will be somewhat like a forbidden palace, however.
In terms of colonial revolt, this Colonial Palace will serve as a bastion of your loyal imperial rule. Think Canada during the American Revolution. The rest of the English colonies were in revolt in N. America but the faitful Canadians stuck by the English to bitter end.(well, in war terms, anyway)
This could mean that perhaps only this city remains faithful(to insure that if your colonies all revolt and declare independance, you have at least a small chance of taking them back).
ALSO, this city, if it has a habor of its own, can have land/sea routes with other Civs and your actual Capital, even if your actual Capital has no sea or land routes to them. I'm thinking this might make some pretty fun scenarios(British Indian colonialism, etc)