Are you using instances or one large static mesh for your world?
If one large static mesh then export as fbx and you should get the lot, do not export each building to a separate file, consider breaking the city or map into regions of fbx data. Multiple meshes mean multiple draws in runtime if you have many materials and textures, reduce the number of these.
If you intend to use instances in Unity, then you will require a method of writing the instance locations in a format that can then be read by Unity and placed by Unity. Consider the Unreal instance placements demo data.
I assume that something could be written into Unity to allow the read and placements of these subsequent locations.
Instances would be most effective management for building mesh data but comes with some caveats you'll discover those along the way.
One large lump of mesh via the fbx export will cost more in the runtime and may or may not require editing afterwards for efficiencies sakes.
Note: this is not a magic bullet for mesh generation and will still require some careful rule crafting and 3d modelling work to get the best from the data, if you are looking at a game style application. You will need to consider a 3d package, Max Maya or and appropriate modelling app. Nevercenters Silo is a good cheap alternative for home use(it does have its quirks mind).
