There was a tv show called Naked City and a movie called Naked City. According to the WorldCat (library catalogs around the world) entry, the 1947 movie was a Mark Hellinger production. The WorldCat entry has this about the script by Albert Maltz: "Original title 'Homicide' crossed out and 'Naked City' pencilled in."
The photographer Weegee did a book of New York City photos (now reprinted) titled Naked City in 1945. This probably coined the name.
13 January 1945, New York Times, pg. 9:
A collection of photographs of New York by "Weegee," newspaper and magazine photographer, will be published this spring by Essential Books and distributed by Duell, Sloan & Pearce. The title is "The Naked City." "Weegee" maintains an office near Police Headquarters on Center Street and is permitted by police to use an auto radio to pick up police broadcasts, which lead him to the scenes of many of his pictures.