I'm assuming you'd like to have some "markers" for the cities.
For that, you can configure the Geo widget Properties:
Region : world (for example)
Display Mode : markers-name
Then your MDX might be as following using the icCube's demo. Sales cube; the [Measures] being on the axis 0 and the cities on the axis 1 :
SELECT
{ {[Measures].[Amount]} } ON COLUMNS,
{ [Customers].[Geography].[City].allmembers } ON ROWS
FROM [Sales]
Note depending on the numbers of markers it might take some time to display them (you could use lat/long instead of names for faster rendering).
Hope that helps.