The first module I played in was "The Keep on the Borderlands," so I believe that's Greyhawk. :) One of my first DMs, AK, was a huge Greyhawk fan too.
I remember him going on about Furyondy and the Nyr Dyv and Iuz... He had the maps from the Darlene set up in his room.
I don't specifically remember *where* he set his adventures and I don't remember *ever* being in an urban location, but I'm certain we were playing in Greyhawk.