See "When you leave New York..." in the "Names and Phrases" section of this web site.
http://www.top40db.net/nfLyrics.asp?SongID=56508
New York's My Home
by: Sammy Davis, Jr.
Lyrics by: Gordon Jenkins
1956
Listen all you New Yorkers
There's a rumor going round
That some of you good people
Want to leave this town
Well, you better consult with me
Before you go (yeah)
Cause I been to all those places
And I know
[...]
So, save your time and trouble
Save your railroad fare
I said save your time and trouble
Save your railroad fare
Cause when you leave New York
Man, you don't go anywhere