Hi,
Either you will create universe filters or prompts conditions at webi query level both are same.only difference is when you create universe filters you can use same multiple times in webi instead of creating prompts at webi level every time.
regarding custom LOV's either you will go with universe filters or create prompts at webi level ,in both the cases you have to go with two webi queries one for delhi and one for mumbai. needs to add the universe filters or webi level prompts in both the queries from respective filters/objects.
If prompt text is same in both the webi queries then you will get the prompt window to enter value only once.
Webi report display the LOV's from the filter/object prompt where highest options are selected.for that i said to when you are going to create filter or webi prompt select the option "Prompt with List of values" option for delhi prompt condition.
With this you will get the prompt once and custom LOV's from Delhi Object.
Better to start building the report and in case you will get any issue then post.
Amit