So keep doing their quests over and over and theyre sending me to different cities at the same time? ?.
You don't have to do the jobs in any particular order, it doesnt matter what hold they send you to, the game will keep track of how many jobs are done in each hold, and will offer the special job once you have completed the right amount of jobs for that hold. Even if you get them in different cities, and that will happen frequently since its random).
Example:
Let's say Delvin sends you to whiterun, vex sends you to markarth....thats one job done in the hold of whiterun and one job that will be completed for markarth upon your return. Once the game sees you have completed the 4 side jobs for a particular hold, delvin will have a new option in his dialogue that will offer the special job for that particular city.