Until recently, at least, the Apple retail stores have not had unlocked iPhone 4S units in stock. That may have changed recently, now that stock has improved, but you'll have to call the Apple Stores in NYC and ask. Be sure to make it clear that you are looking for an unlocked, aka SIM-free, iPhone, not one just without a contract.
You are aware, I hope, that you would not be able to get service on a US-sold iPhone in Europe? You'd have to send the iPhone to someone in the US to take or send to Apple should the iPhone ever need service. Just want to make sure you know that. Note as well that there are sales taxes charged in addition to the listed prices. That along with possible import duties may make it less attractive economically to purchase in the US, if that was your rationale.
Regards.