Vajrapura was the splendid city of the asura Vajranābha. It lay near Meru Parvata and was made for him by the vara (boon) of Brahmā, after his hard tapas (austerity) on Meru Parvata. By Brahmā’s decree, no wind and no enemy could enter it without Vajranābha’s permission. After Pradyumna and Kṛshṇa defeated Vajranābha, the city was divided: three parts went to the Yādavas and one part to Indra.

Description

The Hari Vaṃśa Purāṇa describes the city in Vishṇu Parva, Chapter 93. Its marks were these.

It was covered with jewels (vajra and ratna), and so it got its name.
No wind and no enemy could enter it without the clear permission of Vajranābha. Brahmā’s decree guarded it.
Crores (tens of millions) of asuras lived inside it under the care of Vajranābha.
Around it lay lakhs (hundreds of thousands) of smaller towns and pleasure-gardens.
Inside it were golden lotus ponds, where the divine haṃsas (swans) loved to live.

Indra and the devas could not enter the city by force. For this reason Kṛshṇa planned to send Pradyumna there disguised as a nāṭaka (a player in a drama).

Link to Shaṭpura

Vajrapura is the place where the second Nikuṃbha, the brother of Vajranābha, fled after he carried off Bhānumatī. He entered his brother’s city to find safety. The six underground cities of Shaṭpura are a separate set of places, but Nikuṃbha was the brother of Vajranābha. The Hari Vaṃśa Purāṇa tells this in Vishṇu Parva, Chapter 92.

After the battle

After Vajranābha was destroyed, the city was divided.

Three parts went to the Yādavas. Pradyumna, Gada and Sāmba each ruled one part.
One part went to Indra, as his share of the victory.

Pradyumna, Gada and Sāmba lived in their parts of Vajrapura for six months. Then they went back to Dvārakā with their wives Prabhāvatī, Guṇavatī and Candravatī. This is told in Vishṇu Parva, Chapter 99.

Sources

Hari Vaṃśa Purāṇa, Vishṇu Parva, Chapters 92–93 and 99