The surveys are compiled by HR consultants, like CRG (Corporate Resources Group) and by the Economist Intelligence Unit and others. They buy a fixed basket of goods and services - eg Colgate, a haircut at a 5 star hotel, a 5 mile taxi ride - in different cities and then convert it all into a ranking in US$ terms.
Lagos, Teheran, Brazzaville and other 3rd world cities rank highly because the surveys cover imported brand names and up-market service providers. A normal Nigerian (and a sensible foreigner living there) would buy a local toothpaste and go to a local hairdresser, etc.
I don’t know about now, but a few years back Moscow was on the list because of all the Western investors moving in.
In America, I’d say New York obviously, and I believe Honolulu is pricey. San Jose was, don’t know if it still is after all those fraudalent dot-coms went belly up . .
My understanding was London took the worldwide honors, and San Fran took domestic honors. But as Vinnie said, I would doubt San Fran (or san anything) after the dot com blowout.