Hi Mark,
Filter Bar uses the cities that are currently set for your venues, and it includes any that are currently set on events, even if the event is in the past. I did a quick test on my end, and updating the city on the venue does update that city option in Filter Bar.
If you have lots of venues, it could be tough to determine which one the city is coming from. A quick way to find out would be to install a plugin like Admin Columns, which will allow you to add the “City” field to your Venues admin view (look for the Edit Columns button that appears after activating the plugin). That should help you quickly find which venue that city is coming from.
Let me know how that works for you!
Thanks,
Jennifer