Yes, I have been accepted at another NYC school (not NYU) whose funding is really lousy when you factor the cost of living in.
http://cgi.money.cnn.com/tools/costofli ... iving.html
You might want to test that out so you see what I mean. Pittsburgh is surprisingly SUPER cheap to live in. (I tested about 6 places, and it even beat out random places in rural Indiana.)
Also, Pittsburgh is an awesome and beautiful place to live. I live there, so I can vouch for it. My visits to other schools have given me a whole new appreciation for the 'burgh (*especially* after visiting NYC, actually). It's really safe, and very pretty with lots of parks. It was actually voted most liveable city in the U.S. last year.
You might want to talk to the CMU people about the support offered in the MA which would aid you in applying/getting into a Ph. D. program.