It doesn't have to, but it's based on the Cyberpunk tabletop rpg which is mostly centered around Night City. So most of the existing lore is focused on America. Personally I'd prefer more games/movies/... outside the US in general, I've seen enough fictional versions of NYC and LA.
Cyberpunk 2020 TTRPG had a shit ton of source books for outside of Night City and outside America, including space and even one for the very beginnings of deep space exploration in the cyberpunk world... the source material has a lot of legs outside of Night City.
If not outside of America at least less common areas Chicago, Nasheville, Atlanta hell even rural regions like West Virginia. Hell if you are gonna do it in California or New York do it in less known areas, like Albany or San Bernardino yes I know Albany is the capital of New York but well New Yor, New york gets all the attention.