This one came recommend by another local. Croton reservoir is the water supply for NYC. In Croton on Hudson, NY, which is easily accessible from NYC via Metro-North to Croton Harmon and a short Uber to the park. This is actually nicer than Kensico Dam as there is a waterfall here and a Gorge. There is also a part right near the Croton Harmon Station Croton Point Park which is right on the Hudson river. I suppose its possible to also combine this with the Walkway over the Hudson at Poughkeepsie as its on the same train line