Despite killing oh some fifty dragons I have yet to have one land inside a city wall. I have fought them in cities but it was either outside or the city lacked a wall. Its good to know they could land inside any of them.
I played nearly 500 hours of Skyrim , and only yesterday , i had to fight a Dragon in the middle of Solitude town , just next to the general goods store and the bridge , i was truly shocked as i thought it could never happen inside a major city like Solitude .
It was not a dragon that i lured by entering the city after being chased by one , it just appeared after a fast travel , i don't remember well , but it's likely it did happen because i used fast travel to Solitude as soon as i got out of a store (i think i was in Morthal ) , so perhaps it is a bug (because i know that dragons appear often in small "cities" like Morthal , Falkreath or Dawnstar )