The role will be Ullman's first on the London stage since she appeared in the original production of "Rita, Sue and Bob Too" at the Royal Court in 1992.
"I am thrilled to have been offered this role by Stephen Poliakoff whom I have always admired," the British broadcaster quoted Ullman as saying.
"My City" is to run from Sept. 8 through Nov. 5.
Ullman, 51, has appeared in the British TV shows "A Kick Up the Eighties," "Three of a Kind" and "Girls on Top," as well as the U.S. series "The Tracey Ullman Show," "Tracey Takes On ..." and "Tracey Ullman's State of the Union."
Her film credits include "I Love You to Death," "Robin Hood: Men in Tights," "Bullets Over Broadway" and "Small Time Crooks."