What happens if you do not have any cards left in the Infection deck? (Minor spoilers)
From page 14 of the rules


  In the rare case you get through the entire Infection deck, reshuffle
  it and move the Infection Rate marker forward 1 space on the Infection
  Rate track. If this causes the rate to change during the “Infect”
  step, use the old rate when determining how many cards to draw.


If there are no cards in the draw pile or the discard deck, you've lost. Like, REALLY lost. Even if you say that the Infection Rate just goes to max and then nothing happens when you have to draw an infection card and there is no deck, you can't win the game without adding cards to the infection deck (by connecting cities to the grid) and as soon as you do, you now draw that card repeatedly and will lose the game very quickly. Not to mention that at some point you had to have only a few cards in the infection deck, and you probably lost very quickly at that point too. Even better, you now lose every subsequent game during the setup phase. So, I'd recommend not doing that.