How to show a Select list (dropdown) for state and dependent cities of India?
If you have City and State list in CSV, you can import to taxonomy using Taxonomy CSV import/export module. 


  This module allows you to import or export taxonomy from or to a CSV
  (comma-separated values) file or with a copy-and-paste text.


you can use Hierarchical Select Module to list it in content type

you can find Indian states and city list in xlsx format here