Is there a way to figure out what cities have wonders?

Solution 1:

A lot of wonders (if not all of them?) show up as a visible model around the city in which they are constructing / constructed. So if you see a pyramid around a city, you know the the great pyramid is built there.

It takes some practice to know what wonder is what, and it's definitely a very crude way; requires scanning all cities for things that are sometimes very hard to notice. But it does work, I use this method often to know which wonder is being constructed by other civilizations, to avoid working on the same wonder.

Notice that all wonders have different "under construction" and "completed" models.

EDIT: I've found this wonderful page which attempts to catalog all wonders with screenshots of their "under construction" and "completed" models. Still incomplete, but useful nonetheless.

Solution 2:

It won't tell you exactly which city they are in, but if you go to the Diplomacy Summary and choose "Global Politics", it will show you which wonders each civilization has. I believe you need to have met the civilization at some point in order to see them here.

I also noticed that when you get the message that another civ has built a wonder, the city that completed the wonder will flash on your minimap, presuming that you have explored it at some point (you do not need visibility at the time of completion).