Translation:I am from the city of Los Angeles in the state of California.
You say X City if that is the actual full name of the city -- Kansas City, Gotham City -- and then City is capitalized because it's part of the name. If it's not part of the name, you always say "the city of X."
Same for US state names. You can use the word state (uncapitalized) after the name of the state as an adjective: "the California state government" -- but not alone as a noun after the proper name.
For reference, I'm a native speaker of American English, and I'm from city of San Francisco in the state of California. :)
Because this is how you express in Arabic the possession and this is what this lesson wants to study (I guess, but maybe it was already), check the tips from desktop computers or desktop mode in each lesson, there are really useful tips there.
The thing that is possessed can NEVER have ال (the) before it, because basically it becomes in so strong connection with the word that possesses it, that it can be even seen as one word, so only the second word, the possessor can have ال if it isn't specified already (like here also, a name is always something specific, so no need for the word "the").
Because of the special construction of possession form in Semitic languages (at least Arabic and Hebrew I know) where the first word is the possessed one ("Los Angeles" possesses the word "city") which can NEVER have a grammatical article, only the second word. In this sentence the second word is a proper name (Los Angeles) it can't have the word "the", because it's already quite very specific, so the whole expression won't have any "al", no problem.
Literally you translate the expression "the city of Los Angeles" as "city-(the)Los Angeles".
That's why we have all these exercises to remember this important law!