It's not an uncommon application route. Just be prepared to answer the usual questions about why you're applying to the office, what planning you've made to manage the transition of your life outside work, your cultural awareness, etc. Also worth remembering that London is typically the most competitive office to get a job with MBB firms - expect to pay at least a portion of your own flight and accommodation costs to attend interviews to signal your commitment. Alternatively, you can ask to interview in NY but be considered for London.
