Is there a UK PhD scholarship for international students that pays as much as a particular city's average annual salary? After checking out PhD stipends offered by various UK universities, I've come to the conclusion that they are way below the average annual salary. 

I realize now that this is normal. At Durham, for instance, the most competitive studentship is valued only at GBP 14,000+ annually. 

Are there scholarships in the UK that pays as much as a particular city's average annual salary? 

Are there scholarships that are as generous as Vanier (CAD 50,000 annually) and Trillium (CAD 40,000 annually) in Canada?
Among many studentships provided by Universities in the UK and major research councils (through Centers for Doctoral Training), most programs will only cover student fees and some moderate living expenses which may not be comparable with the median salary in the region. However, you should bear in mind, that the stipends are usually tax-free, and there are significant discounts for students (e.g. train tickets, council tax) helping to reduce the expenses.

To answer your question formally, Marie Skłodowska-Curie Actions PhD Funding provides about €3,110 per month for living expenses, which will exceed the median salary in almost every county in the UK, expect the greater London perhaps.