See? Sodom and Egypt...not babylon
He was speaking figuratively in reference to his own crucifixion. He wasn't saying that every prophet has to die in Jerusalem. This can be proven from scripture
The prophet of Judah sent to Bethel
1 Ki 13:26 And when the prophet that brought him back from the way heard thereof, he said, It is the man of God, who was disobedient unto the word of the Lord: therefore the Lord hath delivered him unto the lion, which hath torn him, and slain him, according to the word of the Lord, which he spake unto him.