These two cities and more are found in two nonfiction resources, which will no doubt inspire in number of details for gaming cities and adventures to have, therein:
1920s Berlin is detailed in all its decadent, cabaret glory in Voluptuous Panic by Mel Gordon. Essentially an R-rated coffee table book (for people with R-rated coffee tables, I suppose) Gordon provides a lot of interesting text, too. He gives, for example, brief dictionaries of underworld slang, and a catalog of types of prostitutes (divided by indoor and outdoor) that's halfway to random encounter table. The focus is mostly on sex, but the expanded edition also has a chapter on the occult underground of the era.
Legendary Sin Cities is the DVD collection of a three-part, 2005 Canadian Broadcasting Corporation documentary. It lacks the detail of Voluptuous Panic, but makes up for it in scope. The three segments cover Paris, Berlin, and Shanghai, roughly over the 1920s and '30s. All three cities were, of course, drenched in vice, but each has its own character--Paris is jazz and art, Berlin is the last party in the looming shadow of Nazism, and Shanghai is a a crime-ridden cultural crossroads. At 210 minutes, the whole series is pretty short but enough to get a feel for the cities it profiles.
There are any number of ways either of these resources could be used to inform gaming. The context and character of the cities could be ported over to a fantasy world with only a little translation, or details could be yanked to add color to an already existing locale, or as a springboard for an adventure.
Regardless of their considerable inspirational value, they're fascinating windows into some interesting places and times.