That problem has been reported before. Seems that the check valve in the city water inlet is stuck open, allowing the pressurized water in the system (via the pump) to flow out. Take a look and see if the little spring-loaded plastic pin in the center is sticking out. If it isn't, try poking it with something to get it to pop out. When you have city water connected to it, the pressure from it forces the valve open, but it should close by itself when you disconnect.