using (var context = new LswEntities())
                {
                    var query = from q in context.Common_Address                              
                                join city in context.Common_City on 
                                new { CityID = q.CityID, ProvinceID = q.ProvinceID } equals 
                                new { CityID = city.CityID, ProvinceID = city.ProvinceID } into cityGroup                         
                                select q;
                        
                }

using(var context = new LswEntities())
{
   var query = from q in context.Common_Address                              
                 join city in context.Common_City on 
                 q.CityID equals city.CityID && q.ProvinceID equals city.ProvinceID 
                 select new 
                 {
                   CityID = q.CityID,
                   ProvinceID = q.ProvinceID
                 };   
}

------解决方案--------------------
你原来写的linq里把 into xxx 去掉。

var query = from q in context.Common_Address                             
           join c in context.Common_City on  
           new { q.CityID, q.ProvinceID } equals  
           new { c.CityID, c.ProvinceID } into cityGroup                        
           select q;