This unnamed city is a huge metropolitan area in The Train level of Babydoll's fantasy realms. Presumably it is highly populated; perhaps even the capital of the planet where it is located. It was apparently the target of poverty-lived robots in the short film "Distant Planet."
For unknown reasons, a powerful bomb, guarded by robots, had been placed aboard a train on its way to the City. Babydoll, Sweet Pea, Rocket and Amber (Blondie wasn't present) were ordered by the Wise Man to stop it from destroying the City. Sadly, their plan failed, and the active bomb hurtled into the city and and detonated, carrying a helpless Rocket to her doom and destroying the metropolis.
Song concluding: "Tomorrow Never Knows"