I captured 3 cities during the game.  When I use the "tab" key, it cycles through the city I built, my sovereign, and my armies (NPCs and created soldiers) wandering around, but does not cycle to my captured cities or the NPCs stationed inside of them.  I can go to the captured cities and build/recruit troops, so they are under my control, but do not appear as I cycle through using the tab key.

On perhaps a related note, the captured cities also appear under the fog of war still.