How do jazz and New York play parts in "Sonny's Blues"?
New York is important because it is a cultural hub. As we all know, New York and Los Angeles are the two cities where performing artists flock...there are actors, actresses, musicians, painters, sculptors, designers, etc. New York is the perfect setting for the story in that regard. It also serves as the backdrop for the tough life that Sonny has lived. New York also has its seedy and tough side, and this is reflected in Sonny's troubles.
Jazz is very important in the story (the role of music). When Sonny's brother goes to the jazz club to see Sonny perform, he has a "catharsis," which is a defining moment of purging one's emotions and releasing them, giving a feeling of relief. He realizes how music is an escape for Sonny and how Sonny's troubles seem to disappear when he is playing his music:
The growing tension in the story is the reader's and the narrator's gradual understanding of Sonny and the burden he bears. The catharsis Baldwin grants both the reader and the narrator is seeing Sonny find a way to defuse his suffering. In this catharsis, the reader also watches Sonny's own catharsis, as he uses his music as an outlet for his blues. (eNotes)