Which episode? Immigrant Tony, got his name from 'To NY' on luggage
'Tony' was an immigrant car dealer running guns in his cars,turned out to be the bad guy who whacked his partner, and gets shot (not fatally) by Danny. It was explained the he didn't show up in the police computer when the cops looked for a Tony, and in fact they had to release another wrongly-arrested Tony. The bad guy got the nickname when he emigrated to America, and wrote 'To NY' on his suitcases. 70% sure it was this show. Could be NYPD Blue - googled several variations, coming up empty.
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