The list that requires semicolons instead of commas is the one with complex items that include commas within them.
In this case, the list that would need semicolons is the first one: Sacramento, California; Denver, Colorado; Phoenix, Arizona; and Santa Fe, New Mexico.
This is because each item in the list contains a comma, so semicolons are used to clearly separate the items.
The other lists do not have this requirement as their items do not contain commas within the individual items.