Chicago

The four movies quoted here are:
1.  Fargo
2.  Tombstone
3.  Vertigo
4.  San Francisco

From this group only Vertigo is not the name of a city in the United States.

The third letter of the protagonist’s nickname (Scottie) is “O.”  The fourth and last letters of the director’s first name (Alfred) are “R” and “D.”  ORD is the airport code for O’Hare International Airport serving Chicago, which is of course, both the title of a movie, and a US city.