If it's a city where you have any family of any kind, do mention that you have family connections. If you have friends in the city, mention that you have a social network there.
Where it gets a little more complicated is where you have neither friends nor family of any kind in the city. In this case, it's important to talk about your sincere reasons for your interest in the position. If geography is of no import to you, but you are very interested in the firm and the position, then say that and back it up with good evidence like showing your research in the firm and your familiarity with the group for which you are interviewing.
Many times our candidates are looking to move to city with a better cost of living, or a city with a better climate, or they are looking to be closer to family (but not too close!). Some candidates want to be in a smaller city, or they want to be in a city where there is a lot of work in their particular practice area (for example, energy in Houston, healthcare in Nashville). These are great reasons to consider moving to a city where you have no personal connection.
As long as you have carefully thought out your reasons for considering the particular city, then you can make your case by articulating those reasons elegantly. The important part is to do your research and confidently make your case then move on to the next question.