scotland yard on 10 October 2007
Fallout Games are urban...
Fallout 3 takes place entirely within Washington, D.C.. However, it's a Washington, D.C. after a nuclear holocaust, so I'm not sure if that fits your description.
I think ArtOfAngels hit on the reason behind the dearth: people typically look to RPGs for escapism and want to experience things that they cannot enjoy in their own lives. Even The Sims seems to cater to that -- with people able to purchase and create huge mansions and landing insane jobs that they could never hope to have in reality.
