I really want U to be for Ulaanbaatar. I do. It's a capital city, so it deserves a mention but, well, no-one goes to Mongolia for a city break. Mongolia is about snow and mountains and plains and yurts. And Ulaanbaatar is largely incidental to that.
Utrecht on the other hand. Now that's a city you can city break too. It's bursting with Dutch character, somehow seeming way more Dutch than Rotterdam, and way more exciting than The Hague (as an aside, I always feel a bit daft calling it The Hague - Den Haag seems far more Right - but let's stick with the British names for the purposes of this distraction, otherwise madness lies: W for Vienna, K for Cologne, and etc).
Maybe I'm biased, I had a chum live in Utrecht for a bit, so I know it a fair bit better than Ulaanbaatar, but the whole (un)point of this is bias. So there.
U is for Utrecht.