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Coastal marine heatwaves (MHWs) modulate coastal climate through ocean‐land‐atmosphere interactions, but little is known about how coastal MHWs interact with coastal cities and modify urban thermal environment. In this study, a representative urban coastal environment under MHWs is simplified to a mixed convection problem. Fourteen large‐eddy simulations (LESs) are conducted to investigate how coastal cities interact with MHWs. We consider the simulations by simple urban roughness setup (Set A) as well as explicit urban roughness representation (Set B). Besides, different MHW intensities, synoptic wind speeds, surface fluxes of urban and sea patches are considered. Results suggest that increasing MHW intensity alters streamwise potential temperature gradient and vertical velocity direction. The magnitude of vertical velocity and urban heat island (UHI) intensity decrease with increasing synoptic wind speed. Changing urban or sea surface heat flux also leads to important differences in flow and temperature fields. Comparison between Set A and B reveals a significant increase of vertical velocity magnitude and UHI intensity. To further understand this phenomenon, a canopy layer UHI model is proposed to show the relationship between UHI intensity and urban canopy, thermal heterogeneity and mean advection. The effect of urban canopy is considered in terms of an additional vertical velocity scale that facilitates heat transport from the heated surface and therefore increases UHI intensity. The model can well explain the trend of the simulated results and implies that overlooking the effect of urban canopy underestimates canopy UHI in urban coastal environment.