Answer:
Vatican CITY. It has one city. It is called Vatican City. Simple, eh?
The confusion arises because the Vatican City is actually an independent country in its own right - the smallest country in the world. All other countries have cities, towns or regions. Even the next smallest country, Monaco, has districts within its borders like La Condamine (the harbour area) Monacoville (the Old Town) and Monte Carlo (the largest city). However, the Vatican consists of just St Peter's Square, St Peter's Church, the vatican museums, the offices and residences of the Catholic Church heriarchy (including the Pope), the Sistine Chapel, some gardens and a few other churches and buildings in a very small area. So, as well as being a lone city, it is also a country in its own right.