I'm not much familiar with the States, but I've allways been partial to New Orleans as an Anne Rice fan
I go to Detroit fairly regularly for one of my many time-devouring hobbies, and the city doesn't feel nearly as desperate and dangerous as the common narrative likes to portray it. I still prefer Chicago, but I don't dread my visits or anything.
I suppose it would depend if we want the Gotham feel to our setting... Or the mysterious, magic, voodoo-y feel... which would be in my mind New Orleans