I'll assume the cities lie on a flat plane, which seems to be the most reasonable interpretation of the question.
Let's assume (for contradiction) that we had a city which is connected to at least 6 other cities. First, note that this implies that no two cities lie on the same ray extending outwards from the central city which I'll label as $0$. Picking the closest of these six cities to be $1$ and label the cities counterclockwise starting from the ray $\vec{01}$ as $2,3, \ldots, 6$. Now $0$ and $1$ are connected since $1$ is closest to $0$. For cities $2, \ldots, 6$, the only way they can be connected to $0$ is by being closer to $0$ than they are to any other city. Here's a conceptual diagram:
First, let's deal with the two triangles $\Delta012$ and $\Delta 061$ which have city 1 as vertices. By construction, $d(0,1) < d(0,2)$, where $d(i,j)$ is the distance from $i$ to $j$. $1$ already has a segment connecting it to $0$ since it's the closest city to $0$. But for $2$, since it isn't the closest city to $0$, we need $0$ to be the closest city to it. So $d(0,2) < d(1,2)$. By transitivity, $d(0,1) < d(1,2)$, so the longest edge in $\Delta 012$ is $\overline{12}$. The same logic shows that the longest edge in $\Delta 061$ is $\overline{16}$.
Now, for $\Delta 023$, we know that $d(0,2) < d(2,3)$ and similarly $d(0,3) < d(2,3)$, both since $2$ and $3$ each have $0$ as their closest city. Hence, the longest edge of the triangle $\Delta 023$ is $\overline{23}$. We apply the same to $\Delta 034, \Delta 045, \Delta 056$ to show that the side opposite the angle at city $0$ is always the longest. This is thus true for all 6 triangles.
The law of sines tells us that either the largest side is opposite the largest angle, or else the "triangle" has a reflex angle (an angle greater than $180 ^\circ$). It's possible that $\angle 102$ is a reflex angle, but by construction it's not possible for either of the other angles to be a reflex angle, because we chose them to lie on rays going outwards from $0$, and there's no way to create a reflex angle between the two rays.
So either $\angle 102$ is the largest angle in the triangle, making it more than $60 ^\circ$, or it's more than $180 ^\circ$, which would of course still make it more than $60 ^\circ$. We can apply the same logic for $\Delta 023, \Delta034, \ldots, \Delta061$ and find that the central city has 6 angles each of over $60 ^\circ$, which means that the total angle is more than $360 ^\circ$. That's a contradiction since we know it has to be exactly $360 ^\circ$ by construction.
Hence, it's impossible for any city to be connected to 6 other cities this way.