Some toll roads went close or through cities (some that come to my mind are the Mass Pike into downtown Boston; the New York State Thruway which ends at the corporate limit of New York City; the New Jersey Turnpike, which runs through several cities, perhaps especially Elizabeth (it had to go somewhere to reach the George Washington Bridge); and the Richmond Petersburg Turnpike [de-tolled 1992], which runs right through Richmond and Petersburg)). The Connecticut Turnpike also ran through a fair number of cities, though I do not have a feel as to how developed some of them were when the Turnpike was constructed.
The Mass Pike originally ended at 128, and you may note it skirts the edge of Springfield and Worcester rather than passing through the middle of them. The extension into Boston came later.
The NYS Thruway does end at the NY City line, but it skirts the edges of every other major city along its route without passing through the heart of them (Niagara Spur notwithstanding).
The NJ Turnpike by virtue of being in New Jersey bypasses Philadelphia and the bulk of NY City (but unfortunately not all of it). Also bypasses Trenton and skirts the edge of New Brunswick and Newark. It was built through an already urbanized part of Elizabeth, but that would have been difficult to avoid and it
wasn't built directly through downtown or with any interchanges positioned to directly serve downtown.
As for the CT Turnpike, yes, that is a fairly glaring exception. It serves several major downtowns directly and they all were well established prior to it being built. Worth noting that the CT turnpike always had a strictly barrier toll system - there were never any ticketed sections or ramp tolls. So its means of collecting revenue was also unusual, it was deliberately designed so that most local traffic could use it for free while long distance traffic would have to pay. It was less of a true toll road and more of a freeway with toll plazas grafted onto it, which is why today there are no obvious vestiges of its former tolling.
CT by the time they built their turnpike had also already built the Merritt and Wilbur Cross Parkways further inland, bypassing all the downtowns along the coast. These roads were once tolled as well, so an argument could be made for putting them into the "toll roads bypassing urban areas" category.