I'm honestly surprised we haven't more open-world games set in Manhattan - it's probably the most recognizable geography in the world. Of course, there would probably be licensing issues out the wazoo... I wouldn't be surprised if there was a copyright on the likeness of Time Square.
We built lower Manhattan as part of the demo data used to wow investors and test the rendering tech.
We were hoping that most of the licensing fees would pour the other way: Macdonalds, Gas Stations etc. Our artists mocked loads of those up to show how pretty we could make them.
(and we were sure loads of kids would enjoy smashing them up with toy tanks)