According to an atlas from 1933, the cities with a population of over 1 Million at that time were (the second number indicates the agglomeration):
New York (6,930,000/8,431,000)
London (4,397,000/8,203,000)
Berlin (4,333,000)
Chicago (3,376,000/3,962,000)
Paris (2,891,000)
Moscow (2,781,000)
Shanghai (2,674,000)
Osaka (2,454,000)
Leningrad (2,237,000)
Buenos Aires (2,195,000)
Tokyo (2,071,000)
Philadelphia (1,951,000)
Vienna (1,866,000)
Hamburg (1,147,000)
Detroit (1,569,000)
Rio de Janeiro (1,545,000)
Tientsin (1,389,000)
Sydney (1,256,000)
Los Angeles (1,238,000)
Calcutta (1,197,000)
Warsaw (1,179,000)
Bombay (1,158,000)
Glasgow (1,088,000/1,190,000)
Cairo (1,065,000)
Melbourne (1,033,000)
Rome (1,008,000)
Mexico City (1,007,000)
Budapest (1,006,000)
Birmingham (1,002,000/1,151,000)
Sao Paulo (1,000,000)
Greater Liverpool (1,162,000)
Greater Boston (1,072,000)
Greater Manchester (1,025,000)
Greater Constantinople (1,203,000)
Of course, the numbers should be taken with a pinch of salt, but they serve to give an impression.