GTA is satire about American society. Because of Hollywood, TV, and English being the lingua franca of the world, this way they can reach a far bigger audience. You couldn’t do exactly the same game set in Helsinki because the world knows far less about Finnish stereotypes. Ninja Edit: Random thought about satirical games set in Finland: My Summer Car is kind of that game.

But they have explored London before. I think the UK would probably the best setting if you would.