<?php
ini_set('display_errors', 1);
ini_set('display_startup_errors', 1);
error_reporting(E_ALL);

include_once('../../wp-config.php');

$state_id = $_REQUEST['state_id'];
$allCities = "SELECT  city_id ,city_name  FROM wp_cities where state_id = '$state_id'";
$allCitiesData = $wpdb->get_results($allCities);

echo '<select name="city" class="custom-select">';
foreach ($allCitiesData as $city) {
echo '<option value="'.$city->city_id.'">'.$city->city_name.'</option>';
}
echo "</select>";
?>