City tiles currently do not count as roads until trading (or whatever tech it is) is researched. It's possible for a unit with road building ability to construct a road in the city, but it only counts as a road on the city center tile. This is a problem in the early game as your road network is rendered inefficient when movement from a road into (non city center) city tiles cost 1 movement point instead of 1/4.

My suggestion is that constructing road when in the city should make a virtual road under every city tile.