You will want to combine two different types of steps (the examples are in Python so you should be using that language in Azure Databricks).
1) You will want to get the longitude and latitude of the cities:
How To Get Latitude & Longitude with python
https://stackoverflow.com/questions/25888396/how-to-get-latitude-longitude-with-python
There are a couple of answers (one using Google Maps API and some other alternatives using python requests library).
2) You can use the longitude and latitude calculation to calculate the distance between two points:
How can I quickly estimate the distance between two (latitude, longitude) points?
If you have a mathematics background you can also take a look at the calculation for further understanding:
https://en.wikipedia.org/wiki/Haversine_formula
If this is helpful please accept answer.