What were Zeus favorite city and state?

In ancient Greece, there was no such thing as separate cities and states. These were combined into city states (called a polis) which consisted of a city and all the surrounding land.

Yes, each greek god or goddess is said to have had a favorite polis:

Apollo: Delphi

Zeus: Olympia

Hera: Argos

Ares: Sparta

Athena: Athena

Dionysus: Delos

etc.