As of July 2014, the most millionaires per capita can be found in the city-state of Monaco, where close to 1 in 3 people are millionaires. The city with the second most millionaires per capita is Zurich. Switzerland, and the city with the third most is Geneva, Switzerland.
More than likely the answer is Midland. It has had and perhaps still has the highest millionaire per capita in the entire nation at that. With oil being as profitable as it is, you wouldn't believe the kind of money some residents of Midland have...hundreds of millions if not more.