This is how the value lists that use values from a Field are designed to work and it can be frustrating at times. If you sort on the city field or specify that the city field be the only value visible, duplicate city names will be automatically dropped out.
You can sort on the zipcode field, but that'll drive your users nuts.
Use a calculation field to combine the city and zipcode fields. Specify this as the second field and hide the first field so that the user doesn't see the zipcode twice in the value list.
Make it a conditional value list where you select a city from one drop down and the zipcode from another. Selecting the City limits the zipcodes in the value list to just those from that city.
Don't use a value list, use a selection portal where a portal lists the city and zipcode data in rows and you click a button to select. This can be popped up in a small window or (if using FileMaker 13), a popover. A search field above the portal can be used to narrow the list of zipcodes keystroke by keystroke.