Im not sure you can do what you want in one pass, you may need to do two queries and then filter out any cities which have been matched against state names (and found missing) and vice versa

this should get you somewhere near wear you want
"SELECT City_Merge.City, City_Merge.State
FROM City_Merge LEFT JOIN Categories ON City_Merge.City = Categories.Name
WHERE Categories.Name Is Null;"

..it was created in MS Access
so to get the other match try

"SELECT City_Merge.City, City_Merge.State
FROM City_Merge LEFT JOIN Categories ON City_Merge.State = Categories.Name
WHERE Categories.Name Is Null;"

Im not sure you can do what you want in one pass, you may need to do two queries and then filter out any cities which have been matched against state names (and found missing) and vice versa

this should get you somewhere near wear you want
"SELECT City_Merge.City, City_Merge.State
FROM City_Merge LEFT JOIN Categories ON City_Merge.City = Categories.Name
WHERE Categories.Name Is Null;"

you will need to extend this to check the states match... should be able to do that using a sub select.. that way round you will filter out say cities in different states with the same name

Mind you, I think you physical desin is a bit suspect.