Country and rock are standard radio formats that you'd expect to hear in every market across the nation. The fact that they're missing from NYC is pretty inexcusable but the way the FM dial has been carved up, there's no place for them.
I count only 12 English language, full market commercial FM stations in NYC, and that's generously including WXBX from New Jersey. Two of them are sports talk (ugh), that leaves just ten for music formats.
WNYC, WQXR, WBAI and now K-Love all occupy spots in the commercial portion of the FM band, removing 4 prime dial positions from the pool that would support common commercial formats like country and rock in other markets. I'm convinced they would exist and serve their respective audiences in New York if there were places for them, but the supply of FM frequencies doesn't meet the demand and as a result there are formats you'd expect to hear anywhere else that can't make the cut here.