https://en.wikipedia.org/wiki/Lloydminster
Lloydminster is a Canadian city which happens to be in two provinces at once, Alberta and Saskatchewan. It is almost unique in North America for that reason. (Technically, Flin Flon is in both Manitoba and Saskatchewan, however the two sides aren't nearly as integrated as they are in Lloydminster.)
Some fun facts about Lloydminster: Both sides are considered to be in Alberta for purposes of time zones, Daylight Saving Time, and sales tax; and in Saskatchewan for purposes of health care and education.
Some fun facts about Flin Flon: Both sides are considered to be in Manitoba for postal and electrical power purposes, and residents of both sides can choose either Saskatchewan or Manitoba cell phone and internet service.
While there are cities in the United States which may appear to straddle state lines, they don't do so in the legal sense: Kansas City, Kansas and Kansas City, Missouri are legally seperate municipalities - as are Texarkana, Texas and Texarkana, Arkansas; whereas Lloydminster, Alberta/Saskatchewan is legally one municipality as it Flin Flon, Manitoba/Saskatchewan.
I am guessing there are two possible reasons why the US has no bi-state cities: One is that the states are theoretically sovereign whereas Canadian provinces are not. (Though ISTM the provinces have more freedom from federal control as a practical matter.) The other is that the creation of a bi-state city would be considered an interstate compact or treaty, which would require the consent of Congress. However, bi-state governmental agencies have been consented to by Congress, especially in the public transportation field.
Is there a plausible POD which could have resulted in one city being in two US states?