There's no reason why large urban areas can't be conservative. The phenomena you're referring to is a product of the distinct class/demographic patterns of American cities (which, really, the conservative "suburbs" are a part of - making them an example of a conservative urban-type area). I'd say that the insistence that a lot of Americans make that cities and suburbs are totally distinct is a product of the same phenomena.
So there's that. Can't think of any other countries where urban areas are more conservative, though.
I believe the Czech Republic votes along similar lines - probably due to the fact that Prague's generally a lot more prosperous than the rural areas. Not sure if the same applies to other post-Eastern Bloc countries. Here in Australia, where suburbs are part of the city, there's no real relation between density and politics - the big capital cities tend to split between parties, while there are strongly LNP urban areas (the Gold Coast), and Labor rural areas (the Hunter Valley).
