Kent Marten may have a good answer for you -- I'm not sure about this one.
Great meeting you last week. Carol is a customer in our Fundamentals training this week, and I referred her here as I thought her question might benefit others as well.
Let us know your thoughts, if you have a moment!
With the geographic role of CBSA/MSA you can blend your own data by linking a common field that identifies the CBSA by code. The built-in demographic data only covers state, county, zip code, and block group, so to display other geographic layers you need to blend in your own data. Tableau recognizes the geographic roles listed (respecting hierarchies like state/county) or you can create a new geographic role via custom geocoding.
CBSA/MSA's are county aggregates so an MSA may span a state boundary but typically a "city" has city limits that do not span state boundaries. The central county of each MSA will contain a "central city" (one or more) of the MSA. A dual axis map may use geographic center points (centroids) for each MSA but if you need "cities" (or central counties) you would have to keep the counties in play as well.
As they say, "welcome to the Forums" and let's see if others can help you out as well. I'm just a relative novice although I've dealt with US metros for some time.
PS. Oh yes, "new borders" can be drawn polygons (if you want filled maps) or wait for "custom territories" in T v10! There is much info on this topic on this forum.