"A Consolidated City is a unit of local government for which the functions of an incorporated place and its county or minor civil division (MCD) have merged. This action results in both the primary incorporated place and the county or MCD continuing to exist as legal entities, even though the county or MCD performs few or no governmental functions and has few or no elected officials. Where this occurs, and where one or more other incorporated places in the county or MCD continue to function as separate governments, even though they have been included in the consolidated government, the primary incorporated place is referred to as a consolidated city. The Census Bureau classifies the separately incorporated places within the consolidated city as place entities and creates a separate place (balance) record for the portion of the consolidated city not within any other place."
"Note that the TIGER/Line Shapefiles do not include empty shapefiles. For example, if a state does not contain any consolidated cities, then no consolidated city shapefile is created for that state. "
So only 5 States have them.