I would have gone to the cinema if the city I live in had had one. I would have gone to the cinema if the city in which I live had had one. These two sentences are correct. The second one is more formal. Please note that I said “the city in which I live/the city I live in”, and not “my city”. Although this is understandable and accepted in a casual context, I do not think that you actually OWN the city, so the city is not YOURS. In the conditional III, the “had + past participle” structure is used. If I had had more time, I would have done it. I would have said it if I had known it. Using contractions is common in casual contexts: If I’d had more time, I would’ve done it. I would’ve said it if I’d known it. There is another interesting thing you can do, which is an inversion: Had the city in which I live had a cinema, I would have gone to this cinema. This one is surely the most formal one. I hope that helps.

The first is the right

Like Ahmed said, you could use the first one (I would have gone to the cinema if my city had had a cinema.) but the "had had" construction is a little bit clunky. You could also simple say "I would have gone to cinema if my city had a cinema" using the simple past and only one "had".