Gavra,
Women in Iran don’t wear burkas; at most they wear a chador and many wear the headscarf that is common throughout the Muslim world. (My wife also wears headscarves and has had great conversations with Muslim women regarding modesty and haircovering.) Women in Afghanistan often wear burkas but there are no Jewish women in Afghanistan other than NATO soldiers and support personnel.
But in any case we do not necessarily follow the minhag hamakom! Chas v’shalom we adopt the modesty standards of gentiles in New York City!!!