US here, raised in a suburb of a fairly large metropolitan area, but not a "big city".
Honestly, it depends on my mood and the situation. Waiting for a bus or train? Please leave me alone. If I have a book or headphones? Please leave me alone. But there's this one barbecue place in a gas station (don't judge, it's one of the best places ever). The lines are frequently out the door, and you can easily be standing for an hour waiting for food. Sometimes I'll start up conversations with other people in line based on what they're talking about, but if they don't seem receptive, I'll go back to my book or to talking to my own group of people.
Someone asking for directions is going to have a bit more of a pass than someone trying to start an honest to goodness full-fledged conversation, but if I don't seem receptive to it, let it go.