Unfortunately, yes, an undefended city just gets razed. There were suggestions floating around to take a percentage of population as "militia" defenders in a case where you don't have a military stationed in the city. But, at the moment, be sure to leave your city with protection or wandering aggressive monsters/bandits (not all are aggressive) can just waltz in and raze it.

Campaign or sandbox game?

- Ash

OK, then the advice already given about generally protecting your settlements is about the best we can give. In the scripted campaign, we could maybe have told you what enemies were around that might have been causing problems but, obviously, in a more random game type, that's not something we can do through the forum.

You can train a single peasant pretty quickly (3 turns, IIRC), so queue that up right away and just keep your Sovereign in a close radius until it's done and you should be a little safer.

 - Ash