Hola Ale! There´s a handy tip I use to help my students, think about it like this: in = inside on = on top of This doesn´t apply to every situation so here´s a link to a useful page dedicated to English prepositions and their many uses! In your example, if we think of "in" as inside then it would be correct to say "I live in Mexico City." Happy language learning! :)

Because living IN Mexico city means you live inside that city, however, you can't live ON a city because that's physicaly impossible.

Being "in" implies that you are within something, or inside of it. So if you say you live in Mexico City, that means you live somewhere in Mexico City. Being "on" implies that you are on top of something or that you are using something. So if you say that you live on Mexico City, that means you are physically over Mexico City but not inside of it, which, of course, is impossible. You could say you are on a boat, or on an airplane.

I agree with Andres. Also, in order for you to live "on" Mexico City, you would have to live on the ENTIRE city. Every part of it. If you say I live on Mexico City, it sounds like you are talking about the whole thing not just a part of it.