No, actually it does not have to be in either of them...
Here's a bit of city history:
By European standards, it's a very young city, it's only 300+ years old. What's unique about this city is that it was built all at once, as a whole, by the country's leader that is to this day considered the GREATest. Although very young, the city had changed its name several times, finally returning to its original about 20 years ago.
Let me know if you would like more clues, I have infinite knowledge of this city.