Tall buildings can block or funnel wind which can lead to smoggy and stormy areas. I assume at least Manhattan will have enough wind due to location and layout. However other cities that have a more medieval layout may have problematic areas. Most cities will do some kind of climate planning, I.e. where do wind and water go, are there any hot areas, etc. Here’s the starting page Frankfurts urban climate plan for air ducts for example. If you google „urban climate planning“ you’ll find tons of examples including NYC.