It all depends. And there are studies out there that rate cities by affordability, rather than COL, which tends to make more sense. IIRC, San Diego was #2 on a recent "least affordable cities in the US" list I read. (Google brings up a bunch of lists, all of which seem to vary slightly.) That means it beat either NYC or San Francisco. While housing (and some other things) are cheaper in SD than in some other cities, salaries aren't proportionate and it becomes more difficult to live in San Diego.
Of course, if you live in a city with higher COL, even if you save a smaller % of your salary, that % may still equal a higher dollar amount, so if you are planning to retire in a cheaper place, you may come out ahead. But regarding your question, no, it is not safe to assume that salaries are proportionately higher in high COL areas. They could be proportionately higher, lower, or about the same as median and low COL areas/salaries.