The question asks you for your city of residence where you applied for an immigrant visa or adjustment of status.
Where did you live when you obtained your permanent resident status? Did you apply to adjust your status (to permanent resident status) in the United States? If so, put the U.S. city where you lived. Or, did you go to an interview at a U.S. Consulate in your home country to obtain the Immigrant Visa and come in to the U.S. as a permanent resident? If so, put the city you lived in abroad prior to receiving your immigrant visa.
I hope this helps.