Maybe Palimpsest by Catherynne M. Valente? Her Orphan’s Tales have some interesting cities too, but that’s a bit of a stretch.
Again, not just one city, but take a look at Invisible Cities by Italo Calvino - it was a direct inspiration for Fallen London.
China Miéville might be worth checking out - go for either the City and the City or for Perdido Street Station.
Way less gross. Human and centaur are both intelligent, can communicate, and give consent, so it would be fine. With a horse (which has none of these things) the centaur would be committing bestiality.