As far as a menu command goes, like others said, it will require some scripting. Hime actually made a menu command manager script, which would make such a bit easier to script.
However people are overlooking a eventing method that would make a fast travel/teleport option, very, very, very easy, and efficients to event.
Take a SS of the world map, resize it in a art program to fit the screen. Make a new map in your game, use that map pic, as the map. Then at the location of every city or whatnot, make 2 page events(make page 2 require a switch to be on, and give you the option to teleport to such). Done, this way you don't need to deal with a million condition branches, and choices.
You can also change the char sprite on this map to a pointer, to polish it out.
In my game, I'm not even gonna have page one of any of the events have a graphic, so they'll become visable as you find them. I'll also be having every possible location being shown on the map, if you have discovered such, even the places you can't teleport to, exc. This way you'll also have a map to help you navigate in general.