Consider a conversation:
A: Where do you live?
B: I live in Madrid, Spain.
A native English speaker told me the following rules.
If B's answer is in the form of writing, everything is OK. Although, it might be grammatically incorrect for speaking as it is not easy to express a grammatical comma in speaking. Therefor, it's better to say this in speaking.
B: I live in Madrid in Spain.
Is it true? I've gone through a few associated topics in English Grammar Today, e.g. Geographical places, People and places and Place names. However, I haven't find a rule to referring to places for this context yet.
Could some give me a link to a widely recognized reference, like English Grammar Today on Cambridge Dictionary