Having grown up in New York City I know what you mean about the audiences. They are tough. But if it is true that Jon seems happier when he performs at home- maybe it's because he gets to go home to SOHO after the performance and sleep in his own bed, and not in a hotel.
However, that theory- like all others- has flaws since he can sleep in his own bed when they play Philly, D.C. and of course New Jersey.