I did do a more generalised Olympic connection a little while back here
I think the picking out the sites that have been used in the Olympics makes more sense.
In London at the moment we have quite a buzz as we will host the next Olympics. At the moment 3 of the London WHS will be used for that Olympics. The Marathon will start at the Tower/ Tower Bridge and head through Westminster. Greenwich will host the Equestrian events in an arena in front of the Queen's House.
Here are the original list of WHS in Olympic host cities, I will see if I get chance in the next few days to pick through sites that have actualy featured in events.
Athens - Acropolis
Paris Paris, Pilgrimage routes to Santiago de Compestella in France
St. Louis Cahokia Mounds National Park (technically is part of East St Louis which is in a separate state but essentially is the same city)
London Tower of London, Westminster, Greenwich, Kew Gardens
Stockholm Skogskyrkogarden, (Drottningholm, Birkaboth could be seen as part of the municipal area but are not technically in Stockholm)
Berlin Museuminsel, Palaces of Potsdam and Berlin
Antwerp Plantain Moretus Museum, Belfries of Belgium and France
Amsterdam (Defensive lines of Amsterdam, none of the sites are actually in Amsterdam but in the surrounding area but Amsterdam is a pretty important part of the inscription)
Helsinki Fortress of Suomenlinna
Melbourne Carlton Gardens
Rome Rome, Vatican
Mexico City Historic Centre of Mexico City, Casa Barraggan, UNAM (Bonus point for being next to Olympic Stadium)
Moscow Kremlin, Novodevichy Convent, Church of the Ascension
Seoul - Hwaseong Fortress, Changedeokgung Palace (must admit Korea is a weak spot for me not sure which are in Seoul and which are not)
Barcelona Palau de la Musica, Works of Gaudi
Sydney Sydney Opera House
Beijing Imperial Palaces, Temple of Heaven, Summer Palace, (Peking Man site is it too far out to count?)
Olympia - Olympia (site of the original Olympics and still site where the torch is lit)
Ironbridge Gorge - the annual games held in the town of Much Wenlock (part of the gorge) in from 1850 were the inspiration for Baron Pierre de Coubertain (who visited in 1890) to restart the Modern Olympics.
I am not really too competant on Winter games to tie anything in sorry!