People are answering your headline but not understanding your question; the two aren't as linked as they would be in French.
All of these are valid:
- I went to a Moscow school
- I went to a school in Moscow
- I went to a Versaille cafe
- I went to a cafe in Versaille.
- I dated a London girl
- I dated a girl from London
These sound more natural than the following:
- I went to a Muscovite school
- I went to a Versaillian cafe (People have been giving you the direct French for Versaillais, but English wouldn't use fhat)
- I dated a Londoner girl.
At least for Muscovite, it retains the implication that the school is for people from Moscow, rather than the school being in Moscow. You could have a Muscovite school in London. You could have a Versaillian cafe in Osaka.
You can see this a lot more often in religion, eg. I went to a Presbyterian school - I went to a school for Presbyterians.