The case
It's the most-misspoken title on television. The column ran in the New York Observer as "Sex and the City," the book kept it, and HBO's opening credits spell it out every episode. Yet "in the city" is how most people say it.
The phrase "in the city" is simply more natural English, and the show's whole premise is sex happening in Manhattan. The grammar of the title loses to the grammar of the idea.
Why our brains do this
When a title is slightly awkward, memory smooths it toward the phrase you'd say yourself.
Sources: Wikipedia — Sex and the City · Wikipedia — False memory: the Mandela effect