In New York, concrete jungle where dreams are made of
There’s nothing you can’t do
Now you’re in New York
These streets will make you feel brand new
Big lights will inspire you
Let’s hear it for New York, New York, New York

Some people consider “of” to be ungrammatical here. Some lyric transcripts even leave it off. I don’t know, it’s there, can’t pretend it’s not there.

Some think it’s hip hop’s liberty with syllables. Hip hop may be loose with syllables, but I don’t believe there were no other choices. Some propose that Alicia Keys crossed her wires during recording and it should be “made true” from the rhyming scheme. Two plosives contacting doesn’t make for good articulation on the long note, so, unlikely. Another quip has it as “where dreams are Madoff.” Most brilliantly, Reddit proposes that it introduces the next line as a dependent clause. There is some evidence from phrasing to support that and at least it’s internally logical.

Nevertheless, I believe the most likely explanation is some kind of extended zeugma, combining “concrete jungle where dreams are made” with the idiomatic “the stuff that dreams are made of.” Besides, the lead-in by Jay-Z, “…that I’m most definitely from…” already clashes, in both timing and meaning, with “…in New York” of the chorus, so it’s not like there is no precedence for this kind of wordplay (though usually contrapuntal, as here). Whether it’s intentional or mistaken, I don’t know, but by getting multiple meanings across, it’s accepted as a syntactic pun. Maybe that’s why few people have flagged it.