The classic example is Brooklyn, NY. Brooklyn is technically a borough, not a city, so it won't show up in the city drop down menu.
This is why we made city display names. Just pick the technical city name (e.g., New York, NY) and then change the display name to whatever you'd like to display on your site.
That way the Seated system knows what time zone your venue and show are in, but you can display whatever you want on your site.