I ate super-delicious pigeon in Cairo, which is probably the closest I've gotten to true sketchy 'urban pigeon.' I asked no questions about where the bird came from, just got in there and got greasy--they were roasted with a nice rice stuffing, and served with a mug of lemony broth.
If I never had to know where the pigeons were coming from, I'd be all for urban pigeon--hey, they're free-range!