That's fine. You need 1 query, and one bit of code.

Assuming you want the files to include the city name as part of the file
name, you'd do something like the following untested air code:

Dim dbCurr As DAO.Database
Dim qdfCurr As DAO.QueryDef
Dim rsCurr As DAO.Recordset
Dim strCity As String
Dim strFile As String
Dim strSQL As String

  Set dbCurr = CurrentDb()
  Set rsCurr = dbCurr.OpenRecordset("SELECT CityNm FROM Cities")
  Do Until rsCurr.EOF = False
     strCity = rsCurr!CityNm
     strFile = "C:\Output Files\" & strCity & ".txt"
     strSQL = "SELECT Field1, Field2, Field3 "  & _
        "FROM MyTable " & _
        "WHERE City = '" & strCity & "'"

     Set qdfCurr = dbCurr.QueryDefs("MyCityQuery")
     qdfCurr.SQL = strSQL

     DoCmd.TransferText acExportDelim, , "MyCItyQuery", strFile

     rsCurr.MoveNext
  Loop

  rsCurr.Close
  Set rsCurr = Nothing
  Set qdfCurr = Nothing
  Set dbCurr = Nothing