I'm slightly amazed here.
To the OP from Wharton and student from Cornell - if your careers office is anything like the careers office at the M7-group school I go to, they should have tons of advice for you on this.
Certainly my experience has been that MBB recruit from the US for internships in all locations globally. At the smaller firms, their US recruiter can usually connect you to a London recruiter.
However UK immigration policy is such that it's a total nightmare for London offices to employ you if you don't have UK or EU citizenship - whilst the big firms will jump through the hoops to get you in, the smaller firms might be unwilling to do so. Best to clarify upfront what the firm's policy is on work permit sponsorship.
Good luck.