It's not available as any base-game option that I am aware of and so far as I know no mod has been created for it.
The One City Challenge (OCC) game-option available in the Advanced Set-Up menu is about as close as you can get, I think. You are only ever allowed to have one city -- lose it, you lose the game. I'm not sure I would have used the word 'Challenge' to describe this mode of play. 'MindScrambler' might have been more appropriate.