I have many cities on Civ5 cause I annexed them and they start to demand Luxury Resources for We love the king day. Is there any City overview on which you can see the items they want or progress?. I have checked the overviews (diplomatic,military,economic) but no info related to this.
Yes and no.
There are a couple of different places that give an overview of your cities. If you click the Change Info Panel in the top-left, and from there open the City List, you can get a quick listing of all the cities in your empire:
From here, you can also click to open the Economic Overview, which is also a per-city view of things.
Unfortunately, while these are both useful overall views of your cities, neither one lists the resource each city is demanding. The best way I've found to get that information is to go down through the City List Info Panel, clicking each city one by one; this opens the full management screen for that city, with a section saying exactly what resource they're demanding right in the center. Note what it is, hit Esc to get out of that screen, and click on the next one.
It's tedious, but generally works out alright. For truly large empires where it gets time-consuming, there are often only a few luxury resources not already available anyway. Since cities can only demand a luxury resource you're missing (well, unless there are none missing, of course), you'll usually start seeing the same few resources pop up over and over pretty quickly.