Cairo is a location that appeared in the prologue of Sly 2: Band of Thieves, "A Shadow from the Past." The Cooper Gang attempted to steal Clockwerk's parts from the Museum of Natural History, however the parts had already stolen by the Klaww Gang.
Sly Cooper needed a lot of help from the gang to traverse the museum. He arrived only to realize that the Clockwerk parts were already stolen by the mysterious Klaww Gang, as explained by Constable Neyla. Along with Inspector Carmelita Fox who was also present at the scene. Sly and his gang managed to flee from them before making their escape in the Cooper Van.