I have a form with two lists that I have produced your solution using States and Cities in a cascading droplist within a repeating section.
In the attached zip you will find the Nintex form XML and the list templates for City and States.
(Yes, I realize I misspelled Los Angeles)
I also want to note that you have to be on one of the newest releases of the product in order for this to be possible. If you are within the last release or 2 you should be good, but they just added the filtering/cascading in repeating sections not too long ago.
Mike M is right, you will have to use the newest release of Nintex Forms in order to place list lookup controls (with cascading drop-downs) in a repeating section. Also, if you are on the latest build of Nintex Forms, please ensure that even if you did register the legacy (listlookupV1) version of the list lookup control, you are not using the V1 build, but the new version of the list lookup control.