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Due to the rapid development of economies, large urban cities consume an increasing amount of energy and have a higher requirement for power quality. Voltage source converter based high voltage direct current (VSC-HVDC) is a promising device to transmit clean power from remote regions to urban power systems, while also providing wide area damping control (WADC) for frequency stabilization. However, the time-delay naturally existing in the VSC-HVDC system may degrade the performance of WADC and even result in instability. To address this issue, this paper develops a time-delay correction control strategy for VSC-HVDC damping control in urban power grids. First, a small signal model of WADC is built to analyze the negative impacts of time delay. Then, a data-driven approach is proposed to compensate for the inherent time delay in VSC-HVDC damping control. The extensive training data will be generated under various disturbances. After offline training, the long short-term memory network (LSTM) can be implemented online to predict the actual frequency deviation based on real-time measurements. Finally, the proposed method is validated through MATLAB-Simulink in a two-area four-machine system. The results indicate that the data-driven compensation has a strong generalization ability for random delay time constants and can improve the performance of WADC significantly.