I knew this was the general rule, but also knew about KDKA-Pittsburgh (a very old station, east of the Mississippi). In looking into why that one got a K, I found this that might be interesting to people reading this far down this subthread: https://archive.is/HpUc3
For a W west of the Mississippi a good example is WACO in Waco, Texas, which is also one of only 3 stations whose callsign is the name of their city. (The other two are WARE in Ware, Massachusetts, and WISE in Wise, Virginia).
Can confirm in New Orleans WYLD has their transmitter in Algiers on the west side of the river and I’m sure that situation applies to other stations can’t recall any Ks around here
https://en.wikipedia.org/wiki/Broadcast_call_signs