Problem:

Add more options to custom select field with Toolset Forms.

Solution:

There isn't such kind of built-in feature within Toolset Forms plugin, the options of custom select field can be setup only in WP admin side, you can not change them in front-end.

In your case, you can try to replace it with a custom taxonomy "city", so your user can add more terms in front-end with Toolset Forms.

Relevant Documentation:

https://toolset.com/course-lesson/creating-a-custom-taxonomy/