Unfortunately, there's no option to select the preferred monitor and I couldn't find a config file. If the game doesn't start on the correct monitor for you, the fix is to change a registry value on Windows.

Under
HKEY_CURRENT_USER > Software > Art in Heart > GoNNER

Change the value of
UnitySelectMonitor_h17969598

In my case, I changed it from 0 to 1. If you want to use a 3rd or 4th monitor you'll have to make that number higher.

I tweeted the dev about this, I hope he fixes it to display on primary monitor by default or give users an in-game option.

I had this issue also, and i have an easier fix that doesn't require registry hacking.

Within GoNNER, go to Options --> Graphics and set Fullscreen to Off. Then move Gonner to the screen you want it on, then set Fullscreen to On; it should go fullscreen on your preferred monitor. Exit the game and when you restart, it should start on the monitor you wanted.

It worked for me anyway :)