The katakana form シティ is used in Japan for City” and would be recognised as shown in the “City Hall” below.

I think メガ for “mega” is also acceptable this is used in アニメ{anime}. However, even in the “mega city” 都{と} of 東京{とうきょう} or 府{ふ} of 大阪{おおさか} the same words for police and police station are used. While ポリス would be recognised as the foreign word for “police”, the kanji are far more common: 警察{けいさつ} for “police” and 交番{こうばん} for “police station” or “police box”. Police stations differ to other countries, even in big cities there are many smaller neighbourhood 交番{こうばん} serving as a point of assistance for each community. For example, this is one on a suburban street corner is in a large city (over 1 million people) and they can even be found in train stations.

Note that they use different words for larger cities rather than using “mega”. 都{と} or 府{ふ} translate better to “metropolis” rather than “mega-city” (メガ市{し}). 市{し} implies a different administrative urban area of fewer wards 区{く}. This not a matter of word choice: city boundaries and status are defined in Japanese law.
While you are free to use katakana for style. I think depending on the context (and cultural accuracy) you ought to consider kanji here instead. I recommend to use 交番{こうばん} rather than ポリス or 警察{けいさつ} unless you need to refer to the police themselves rather than their office.
Note that the kanji 都{と} and 区{く} are always used with the name of the city or district:
東京都{とうきょうと}
Tōkyō metropolitan area
江戸川区{えどがわく}
Edogawa Ward
新町{しんまち}交番{こうばん}
Shinmachi (new town) police box