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I'd say take the time to worldbuild together, asking as much questions as needed about the setting, figuring out cool answers together. You don't have to rush into action right away, though starting the story with a bang and then giving a bit of context can be swell too.  Finally, make it beautiful and odd at the same time. Take familiar things and twist them a bit so they feel otherworldly. I hope this helps. 

Thanks!
Do you advise playing in a known city, like Neverwhere that twists stations in London, or invent something weirder, more alien?

I'm not sure there is a straightforward answer to this question. My advice would be to talk about it with your players. :)