I believe it is a limit to a single memberbut there is another solution.
Firstly understand that context filters are a convenient way to limit the user's starting view. If you want them to see two see two cities and if your dimension has no roll-up of those cities into a single region, then their starting view must be one city or the other. However they can still change that view through the dimensional requester to see the other city. What's more they can see any other city in the organisation.
If you go into PAS and create a security procedure you can limit a user to seeing only certain members of a dimension. Here you can force the restriction to only the two cities.
However you must still have the context default to one of those two cities. The users must be educated to use the dimensional requester to select the second city. If that is not acceptable you can create two score cards, one per city, and give them access to both.