I don't mean anything crazy like an empire spanning the country in dozens of cities or whatever. My suggestion would be, at the start of the game, you get to decide which city (or district or region or whatever) you'd like to start in. Each setting has a few unique characteristics but otherwise wouldn't affect gameplay (and therefore hopefully wouldn't require much to code).
For example, a scientific city renowned for its cutting edge, if somewhat unorthodox, medical practices. Girls regain health faster, but disease outbreaks are somewhat more common. You can sell bodies from your dungeon for medical research (for less than selling a live slave, obviously) or donate it for + to rep, though obviously not more than you'd get for killing anyone. Pay for operations that can give random traits to a girl, good or bad (on average good, since most people wouldn't like to risk it)
or, center of commerce city. Your girls earn slightly more but are more likely to get attacked, robbed, whatever. Raising accomodation costs more due to cramped conditions. Prices are slightly lower, perhaps fluctuate from month to month depending on trade.
vatican-like city (some religious place). Your presence is tolerated as a necessary evil. Less chance of crime against you, but authorities get on your ass if you have any low rep. Catacombs may offer greater yield. Haha, perhaps make abortions lower your rep in this city (oh silly catholics).
I hope you get the idea. Even if you don't like the settings I made up, they're just possibilities. Starting in a different city wouldn't affect your gameplay drastically at all... to be honest, if anything I went rather overboard in coming up with unique effects from each setting. It'd just be nice to customize a bit more (perhaps different building pics,

without much trouble on either the part of the developer or player.