SharePoint allows you to do this with the Title
column, which is a default column for any list. What you want to do is set up your list and reuse the "Title" column for your "City" column. This is as simple as going to your List Settings screen and renaming the column (from the List Settings screen, click the "Title" column, then change the Column Name to "City" and save your changes).
Next, set up a view for your list (modify the default one or create a new one). On the Edit View screen, one of your column choices will be "City (linked to item with edit menu)". Make sure that column is included in your view and you should have what you want.