Neither is entirely correct. Your sentence should be: There are 15 million people in Moscow. Why don't we use 'the'? Because names of cities and towns don't have articles. Moscow, London, New York - none of them have articles. That said, there are one or two exceptions, such as 'The Hague' - a city in the Netherlands - which has a 'the' as part of its actual name, but these exceptions are very rare indeed. The only time that you would ever use 'the' with Moscow, is in the following fairly unusual situation: 'Moscow today is very different from the Moscow that my grandfather remembers.' We would use an article there to suggest that the city which he remembers is, in some ways, a totally different place. You are distinguishing between two Moscows - the city of today and the city of the past. But 99% of the time - there is no ;'the' before a city name.

We never use THE with names of places. You should say "There are 15 million people in Moscow"

"There are 15 million people in Moscow". This is the right one. The reason: Moscow is Proper noun (Like names of people, streets, buildings. etc). And proper nouns don't need an article, for example we can't say "Her name is the Natasha" but " Her name is Natasha". Plus you should say "15 million" not "15 millions". And you don't have to put "of" between "million" and "people", this might be common in other languages like Spanish and Portuguese but not English. :)