Yes, you're right.  From what I'm finding online, Whitehall is a road in the City of Westminster, and GeoNames entities don't go that far down.  Interesting to think about whether and how we should tag proper names that are used figuratively...

There is a DBpedia resource for what seems to be the correct Whitehall: http://dbpedia.org/page/Whitehall but this is labeled as a "feature" and not a "place", so I'm not sure how useful it would be to reference.