Well, Philadelphia in the USA means brotherly love, so perhaps Leeds and Preston were cities of brotherly love, too.
The fact remains that the earliest use of the word in English was as applied to the area/buildings, including the particular theatre, created by James, John, Robert and William Adam in the London area already described.
The northern examples mentioned are, I imagine, just copies of what had become known as an up-market name and reputation. We find establishments called the Royal Hotel all over the place, despite the fact that no such exalted personage ever went near them!