Forum Overview :: Alpha Protocol :: IIRC, you can actually switch cities at any point.

[quote name="Lizard_King"]The trick is, you don't unlock the next tier of abilities until you complete a full string of Alpha missions in a city. And it's not until that second string that Stealth and Pistol really become dominant. So you could just go from nice mission to nice mission accumulating cash, do the ____ missions in Russia to get access to the best store, and then blast through with one of the best pistols and the stealth gear (really expensive). This is probably more important if you choose to do a hard replay to do everything differently, which I thought was fun because the "veteran" choices let you have your cake and eat it from time to time and it also gives you a bunch of starting points. But I still recommend doing all of Rome first, because it's the easiest and gets you to that second tier. [/quote]