Maybe this will be clearer as the book progresses, but the cities represent modes of perception, states of mind, emotions, paradigms, etc., so being "in" one of the cities means that you're undergoing the experiences Calvino is describing.

Diomira could be broken down into dio (god) and mira (aim, sight), so my view is that Diomira finds its physical form in godly/heavenly sights that provoke the response that Calvino's describing. The traveler actually strikes me as the melancholic one and this is influenced by their memory. They've seen so many fantastic sights that they've grown bored of anything similarly fantastic and retroactively perceive that they've always been bored by these sights. The traveler is envious of those who retain a nostalgia for when these beautiful sights, now commonplace to them, were novel.

The multicoloured lights can be expected to come on at a certain time, implying routine, and we assume that the woman surprised by the lights is either unafflicted by either shade of memory and is living in the present, or that she's experiencing it for the first time. I think that's Calvino's way of saying that memory and comparison robs us of the present: the melancholic are slave to the mundanity they paint onto the world while the nostalgic chase a high that they don't realize isn't much higher than what's right in front of them.

That's interesting. I think your explanation is neat (I agree nostalgia is a more appropriate word than melancholia) except the text states 'envy towards those who now believe they have once before lived an evening identical to this (...)' implying that in the Diomira state of mind you don't.