Corinnguard
Hero
This had been done in an anime series called Blood Blockade Battlefront. Blood Blockade Battlefront centers around the crime fighting organization "Libra" and their battles in Hellsalem's Lot, formerly known as New York City. Hellsalem's Lot was created when a portal to the "Beyond" opened, becoming a paranormal melting pot of monsters, magic and the everyday mundane life, and it is up to Libra to clear the streets of trouble and prevent the horrors of this city from spreading to the outside world.Stephen King has the bad guys lair in Vegas in The Stand.
Now, someone do New York. Hub of commerce in the natural and supernatural worlds, and of course the city's diversity extends to supernatural beings as well.
Not an RPG to be honest, but still something of an Urban Fantasy that could be an RPG.