Graph Neural Networks (GNNs) have been broadly applied in many urban applications upon formulating a city as an urban graph whose nodes are urban objects like regions or points of interest. Recently, a few enhanced GNN architectures have been developed to tackle heterophily graphs where connected nodes are dissimilar. However, urban graphs usually can be observed to possess a unique spatial heterophily property; that is, the dissimilarity of neighbors at different spatial distances can exhibit great diversity. This property has not been explored, while it often exists. To this end, in this paper, we propose a metric, named Spatial Diversity Score, to quantitatively measure the spatial heterophily and show how it can influence the performance of GNNs. Indeed, our experimental investigation clearly shows that existing heterophilic GNNs are still deficient in handling the urban graph with high spatial diversity score. This, in turn, may degrade their effectiveness in urban applications. Along this line, we propose a Spatial Heterophily Aware Graph Neural Network (SHGNN), to tackle the spatial diversity of heterophily of urban graphs. Based on the key observation that spatially close neighbors on the urban graph present a more similar mode of difference to the central node, we first design a rotation-scaling spatial aggregation module, whose core idea is to properly group the spatially close neighbors and separately process each group with less diversity inside. Then, a heterophily-sensitive spatial interaction module is designed to adaptively capture the commonality and diverse dissimilarity in different spatial groups. Extensive experiments on three real-world urban datasets demonstrate the superiority of our SHGNN over several its competitors.