No, each time it happened (something like 5 times already, everytime i defend a city actually, and only with state militia) i won without losing much troops.
Here is what i had before the battle, i lost just a few units and last screenshot is what's left on the city, just after the battle results screen.
So basically all militia involved in defending a city disappear after a fight. And every time it happened i looked on the armies list to find them back on they just disappeared from the game, just like if they were dead.