XP Stands for Experience Points - these are collected after each game you play, regardless of the final outcome.
When you collect enough XP you will gain a level. All Cities have level restrictions; if you're not a high enough level you can't play in that city yet. The more cities you unlock, the more JD you can win!
You can check to see how many XP you've collected and how many more you need to level up by tapping the XP Bar in the upper left corner of the Jeopardy! World Tour home screen - just look for the lightbulb!