Como posso acelerar esta consulta SELECT CONCAT/GROUP BY?

Crie um índice composto em (state, city) e reescreva sua consulta assim:

SELECT  CONCAT_WS(', ', city, state) AS location, AVG(latitude), AVG(longitude) 
FROM    places
WHERE   state='NY'
        AND city='New York'
GROUP BY
        state, city

Observe que para esta consulta você pode omitir GROUP BY cláusula:

SELECT  'New York, NY' AS location, AVG(latitude), AVG(longitude) 
FROM    places
WHERE   state='NY'
        AND city='New York'

No entanto, esta consulta ainda precisará dela:

SELECT  CONCAT_WS(', ', city, state) AS location, AVG(latitude), AVG(longitude) 
FROM    places
WHERE   state='NY'
GROUP BY
        state, city