2 questions:
- Would you be travelling paid Y or C (or F)?
- What would you be wanting to get out of the status you'll earn (lounge access; upgrades; or access to redemption awards to burn the miles (and within redemption are you willing to pay to travel premium classes or you just want a Y seat for little cost?)

The easy answer to your question is usually join the FFP of the airline you'll use the most (guess UA?)

however:
If you fly paid C or F (or even Y with US carriers) you can consider bmi DC while they are still around (at least 2011 is secure).
- low Gold threshold at 38000 miles (2 Y returns would requalify for gold)
- lounge access even in the US (if 2 are Gold in the family that can put 4 of you in the longe)
- low redemption amounts needed, however with fuel surcharges which tend to pile up vs what you can get on US carriers.
- family account, good if you have kids to manage their miles in as a single bucket.

GBM