The graphical representation of the city walls is entirely based on the last wall-related construction in that city. If you build a hedge wall in a city after the stone walls, the stone is replaced by hedges. If you demolish either wall improvement the city borders will revert to basic fences, even though the other type of wall is still present.

Don't know if this also applies to the walls' gameplay effects, or just the graphics.

How to replicate:

• By default, a city is bordered by fences.
• Build a Hedge Wall improvement, the fences turn into hedges.
• Build a Fortress, the hedges turn into stone walls.
• Demolish the Hedge Wall, the stone walls turn back to fences. Even though the Fortress is still there.
• Rebuild the Hedge Wall, the hedges come back, but the stone wall doesn't.

Helpful savefile.