That would be, like, cool and stuff: you can domesticate cheetahs (they were used as hunting animals in the medieval period, in fact). Obviously, they’re not as safe as a Golden Retriever, and I wouldn’t leave my kid alone in the same room as one – but they’re not really all that dangerous to an adult human. Having them wander the alleyways of Manhattan would add a certain something (sayeth the person who would not be responsible for cleaning up the cheetah poop).
Unfortunately, it’s not about examples of Acinonyx jubatus literally wandering around NYC, more’s the pity.