You can say 'come to Paris'. 'Come' expresses movement to someone's location. You can tell someone who's already in Paris that you will come to Paris, and they can tell you to come to Paris. However, once you are in Paris, you have arrived in Paris, as you are now located there. 'Arrive' expresses a change in location, so you 'arrive in Paris', whereas 'come' expresses journey to that location, so you 'come to' rather than 'come in'.