This post contains spoilers for Heavy Rain.
Although Heavy Rain is set in a nameless American city, David Cage has been forthright about Philadelphia's strong influence on game. When members of the development team visited the city, it inspired the dark, gritty world players would ultimately explore:
"What we discovered in Philadelphia was beyond anything we could imagine. We saw despair. We saw violence. We saw fear. We saw poverty, in a way that no one in Europe could imagine takes place in the U.S."
While most games have a subtextual American slant, it is rare to find a game that so earnestly addresses the country's failings. Trying to say something meaningful about a society is difficult, and even games like Grand Theft Auto tend to sneak their messages in subtly via satire.