There is a setting you can change so that new troops stay in their city when they are first made. I think it should have been the default, and I have had no desire to change it once I had them staying in the city they were built in.

And when you are normally exiting troops, don't double click them, control click each troop you want to select for exit, then click on a square outside the city perimeter to cause them to exit to that square.

^ This.

Activate and get used to clicking the tile you want your troops to exit beside the city before continuing onwards to their destination.

It's the only way.