The correct answer is option 2: Phnom Penh. Phnom Penh is the capital and largest city of Cambodia, a country in Southeast Asia. It is situated on the banks of the Mekong River, which is one of the biggest and most important rivers in the region.

Option 1, Hong Kong, is not associated with the river Mekong. Hong Kong is a special administrative region of China, located on the southeastern coast of China and surrounded by the South China Sea.

Option 3, Shanghai, is not associated with the river Mekong. Shanghai is a major city in China, located on the east coast of the country at the mouth of the Yangtze River.

Option 4, Yangon, is not associated with the river Mekong. Yangon is the largest city and former capital of Myanmar (formerly known as Burma), located along the Yangon River.

Therefore, the correct answer is Phnom Penh, as it is the city associated with the river Mekong.