Should I change my password if I see an iOS popup that someone tried to login from an unrecognized city?
There are a number of valid reasons why this could happen:


You're using a VPN service that is causing you to show up in a different city
You're being incorrectly geolocated to another city broadly within your region of the world.


Aside from that though (and assuming it's not a phishing message you see), it seems that someone is getting your password, and not only should you be changing it, but also trying to figure out whether you've got a keylogger, are getting phished, etc.