Immigration is specifically a federal issue.
Here's how this works: under the 10th Amendment, the federal government cannot require a state government to legislate in a certain way, nor may it "commandeer" a state's resources or personnel for federal purposes. That is, the federal government has to enforce its own laws using its own personnel and cannot force the states to take on such a burden. This is well settled law--as in going back to the very founding of the nation.
What this means in this context is that no state or local government is obligated to assist the federal government by turning over illegal immigrants, reporting to the fed as to illegal immigrants, nor providing any information to the fed regarding illegal immigrants, etc.
Further, Trump's statements that he'll deny these cities certain federal funding is almost entirely toothless. The federal government may deny a certain amount of funding to a state for specific programs in order to encourage compliance, but the fed
may not act coercively in doing so. What this has translated to in practical terms is the loss of small amounts of money to the states, but even those small losses likely end up hurting the federal objective, and don't really hurt the state. Sometimes a state will choose to comply, sometimes it won't. But it is at the state's discretion.
In short, Trump can't do dick about this, and his threats are all but empty.
