Hi Steve,
I'd like to reference this site www.cityfeet.com that i did in one of my earlier posts. This site ranks extremely well for any geo targeted search for the keyword "office space for lease" . Type in " office space for lease dallas" or "office space for lease new york" they are always in the top search results. Their URL structure is below:
http://www.cityfeet.com/cont/new-york-office-space
http://www.cityfeet.com/cont/tx/dallas-office-space
So it seems like you may have to adopt a dual structure on the site. For the more competitive search terms you can have the keyword close to the domain name. For the others , you can have a state abbreviation and the city keyword next.