I'm pretty sure I've read that Gershwin said this was about America, not just New York.
"Rhapsody in Blue" (1924)
But I feel like Gershwin is enough to make it a New York song. Also? 2 of my favorite minutes of music (ever) are in this song. You know the part I mean. It felt awfully fast leading up to it, so I was glad that he slowed down.