You can try Bumble & Bumble's SUNDAY shampoo! It's a weekly cleansing shampoo that removes build up. I really do love this.
I used to live in South London, but have moved to Coventry, where the water isn't as bad. An advice I can give you is to use filtered water to 'final rinse' your hair/face. Sure, it is bloody cold, but it works to remove the salt crystals that might be left on your skin/hair.
As for going out into the city, I try not to take the tube as much as possible. I find buses a lot less dirty! Always use an antioxidant product and a hell lot of sunscreen/foundation when you go into the city. And yes, even at night. The antioxidant product will help counter any damaging pollutants and combat any free radicals. Sunscreen/foundation provides a physical barrier against any particles from entering your skin pores. However, do take note that removal is VITAL! Bioderma does one of the best gentle, yet effective make up removers!
Best of luck!