Well there is a thing called the locative case.
With the names of cities, towns, small islands, domus(house), and rus(countryside), the preposition is not used in expressions of place. These words express place by a case called the locative. Its form is like the genitive in the singular of nouns of the first and second declensions, otherwise like the ablative. Rus always and other third declension nouns occasionally have the -i locative case. For example:
Placewhere:
He is in Rome--> Romae est compared to/He is in the city--> In urbe est.
So really, when its a name of a city or the specific stated about, it would be in the genitive form, feminine- ae, masculine-i, third declension -i. WHen it is place from which for locative words, it would be in the ablative --> Roma. WHen place to which, accusative--> Romam