Not now, certainly. But back in the day... There are a number of disused coal power stations in big cities. The Tate Modern gallery in London is an old coal-fired power station, say.
We wouldn't site coal (or nuke) generation there now because (a) we can do long-distance low-loss transmission (in GB, transmission losses are ~2%, distribution losses ~5%), and because we know about the bad effects of the air pollution etc.
They knew to some extent about (b) when what's now the Tate Modern was built, but regulation was relatively weak until the 1950s, so there was nothing stopping them building it. _Knowing_ there's a problem is insufficient; making rules based on problems is required.
But no, neither coal nor nukes would be welcome in cities just to reduce transmission costs!