Another way to do it is:
Start at
https://en.wikipedia.org/wiki/Category:Cities
Click through the category tree.. for example from there to
"Category:Cities by country" then
"Category:Cities in the United States" -> "Category:Cities in the
United States by county" ->
and so on until you get to a leaf category like "Category:Cities in
Pemiscot County, Missouri"
that contains actual pages instead of more subcategories.
Now go to:
https://en.wikipedia.org/wiki/Special:Export
and paste the Category:... name into the form field "Add pages from
category:". Click "Add" and
then "Export".
Now you have a single XML file with the contents of the articles of
these cities.
https://en.wikipedia.org/wiki/Special:Export
-> "Add pages from category:" <enter 'cities'> and click
'add' button.