So the problem I’m having with this “pick x of 5 cities to save” discussion is that it matters a lot when the cities fall. London falls on turn 3? Not a problem if you’ve done the Taranto raid and killed some German planes; Russia can just swoop in and occupy eastern Europe, America can liberate London at its leisure, and you’re looking at an Allied win.
London falls on turn 7? You’re pretty much screwed in most cases.
Flipping that around, if Calcutta falls on turn 3? That’s pretty bad; the Japanese have enough time to pivot over to Australia or Honolulu and force America to ignore the Atlantic, or they might even be able to build a factory in West India and crank out 6 fast movers a turn (9 if they get Persia, 12 if they get Iraq, etc.) to seize the middle east and mess up moscow’s southern front.
On the other hand, if Calcutta falls on turn 7? That’s totally fine; in most cases, if Japan is only reaching Calcutta by turn 7 that means Japan is more-or-less contained, and by the time Japan can use the Indian bases to seriously threaten Cairo or Moscow, the game will be over.
So, taking the question as seriously as I can:
In the opening, hold Moscow and Calcutta.
From the middlegame on, hold Moscow and London.