Why not just use LINQ?
C#:
// Or use SingleOrDefault(...) if there can ever only be one.
var person = Cities.SelectMany(city => city.People)
                   .FirstOrDefault(person => IsOK(person));
if (person != null)
{
    ...
}
VB.Net (my best attempt, I'm not as verbosed in it):
// Or use SingleOrDefault(...) if there can ever only be one.
Dim person = Cities.SelectMany(Function(city) city.People)
                   .FirstOrDefault(Function(person) IsOK(person));
If person Not Nothing Then
    ...
End If
If all you are trying to do is see if there are any IsOK(person), then use the Any(...) extension method instead:
C#:
var isOK = Cities.SelectMany(city => city.People)
                 .Any(person => IsOK(person));
VB.Net (my best attempt, I'm not as verbosed in it):
Dim isOK = Cities.SelectMany(Function(city) city.People)
                 .Any(Function(person) IsOK(person));