Princess Ozma lives in the fictional City of Thi in which L. Frank Baum book?
City of Thi:  Thi appears in the book "The Lost Princess of Oz". The Lost Princess of Oz:  Published on June 5, 1917, it begins with the disappearance of Princess Ozma, the ruler of Oz and covers Dorothy and the Wizard's efforts to find her.
"The Lost Princess of Oz"