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I left the Walking Sands after the previous main quest and then I did the Materia quests and finally Lord of Inferno.
However, the game tells me to "Head to Drybone and assemble with the Flames" and then go to the Inviisible City. But I cannot find these Flames and there's no single marker on my map, is it a glitch??
There should be a Flame Sergeant at Camp Drybone 14-24. Did you talk to him yet? Have you tried going to the Invisible City (it's directly North from Camp Drybone)?
Or, did you already defeat Ifrit? If so, you need to go to Waking Sands and talk to Minfilia.
Do you have the particular quest showing in your duty list? By default it can fit 5 quests and is located in the right side of the main game screen. The game only shows map markers for the quests in that list. Normally it's autofilled as you accept quests and sometimes the one you were doing might be bumbed out of it due that. In your quest window, you can select which quest you want to stay sticky in that list by toggling the square right of them to yellow. You can also click it again to turn it it "deny" to stop some quest appearing in the duty list even by autofill.