Garden City (on Long Island) or New City (Rockland County) are a couple of others. But that doesn't change the fact that the FCC doesn't license broadcast facilities to states. There's no "WPRO Rhode Island" for instance, it's "WPRO Providence". (I picked that example since RI is the physically smallest state, so if it doesn't exist there, it doesn't exist in larger ones.) It's Community of License, not State of License. In fact, it used to mean CITY of License. So there's absolutely no ambiguity whether a station identifies as "New York" verses "New York City" verses "City of New York". Get the job done with the minimum of words.
BTW, unlike the other examples, Long Island City is not a municipality in and of itself. It is a section of Queens (similar to Flushing or Jamaica), which is a county, and a borough of New York City. There is no station licensed to Long Island City, or for that matter Flushing, Jamaica, Queens, Brooklyn or The Bronx. Regardless of where the station's studios or transmitter are physically located, they're all licensed to New York [City].