If I understand your question correctly, the following code should do what you need:
myFunction($("#my-select option"));
The query output is already a set of parameters that are descendants of the selection, so you do not need to insert them into another array. Also, if your choice does not have an identifier, but you have a DOM element:
myFunction($("option", theSelect));
Including this idea in your code:
$("#CityLocal").autocompleteArray( $("option", theSelect), { delay:10, minChars:1, matchSubset:1, onItemSelect:selectItem, onFindValue:findValue, autoFill:true, maxItemsToShow:10 } );
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