Air pollution directly linked to increased dementia risk

It depends. Pollution can be higher in the cities, or it can be higher in areas with high wildfire risk, or it can depend on specific geography which traps polluted air. You have to look at each case individually.

For example, in my state there is a specific more rural area which has a high incidence if heating with wood stoves, and they have higher air pollution that other more urban areas.

Another possibility is that urban areas are richer on average, and therefore might have better air filtration systems in homes and businesses than poorer rural areas. You can't tell without actually gathering the data.

There's a lot of interesting confounding factors from an air quality perspective wrt urban vs suburban vs rural. Leaf / lawn blowers. Driving vs walking/public transit. Ground level vs up high. Tradewinds (west coast vs east coast vs AZ dust storm / wildfires).