WPML – i would try this using an XML file. Here’s what I would do. I would set up a city & state category, just as you wanted as a parent / child. Then I would then export my blog to an XML file to see how wordpress formats this in an XML file. Search around the file, study what’s before and after each. Then, I would copy that format for all my cites and states, maybe in an Excel file. Have column A be what’s before the city, column B is the city name, column C is what’s after, then column D combines all of those columns. Then, take column D and paste it into an XML file. Take notice of the special top and bottom of the wordpress XML file you first downloaded and paste your info in the middle. Then upload. Should work. Make sense?