I am a resident of the city of Niagara Falls, New York.
We do not use "the" before "Niagara Falls" when referring to the city or the natural wonder nearby. We do capitalize both words.
Interestingly, "the" is used when referring to "the Niagara River", "the Niagara Escarpment", "the Niagara Peninsula", and "the Falls" or "the Falls at Niagara", but never with "Niagara Falls."
Facts about Niagara Falls
And thanks for not mispelling it "Niagra".