As a general rule of thumb, Use "at " for public facilities, i.e. bank, airport, library, hospitals post office and etc... Use "In " for cities, i.e. San Francisco, L.A. and Chicago ....etc.
I have to say no. I was able to contrive an outlandishly unlikely scenario, but that would not help you. In the normal course of events, "I am at New York" is not possible.