I love how he freely talks about the title of the game in interviews, lol, like "Well, it could be Shenmue Land... what do you think? I don't know."
Personally I like "Shenmue City" as it rolls off the tongue. Shenmue World would only be apt if you were able to interact with people all over the world, so if that happens then I'd accept "World".
Town sounds too small and Street sounds too ghetto. "Yo, you wanna play sum Shenmoo Street dawg?!"