The most straightforward way I can think to do this involves stepping outside the "from...in" syntax a bit:

var myClubs =
    from aClub in myDB.Club
    where aClub.Users.Any(aUser => aUser.City == city)
    select aClub;

This assumes that the navigation property from Club to User is named "Users" (if you haven't changed anything, it's probably "User").