I got the solution for the problem , There was two parameters I didn’t take care of it which should be passed to Phrases() model, those are
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min_count ignore all words and bigrams with total collected count lower than this. Bydefault it value is 5
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threshold represents a threshold for forming the phrases (higher means fewer phrases). A phrase of words a and b is accepted if (cnt(a, b) – min_count) * N / (cnt(a) * cnt(b)) > threshold, where N is the total vocabulary size. Bydefault it value is 10.0
With my above train data with two statements, threshold value was 0, so I change train datasets and add those two parameters.
My New code
from gensim.models import Phrases
documents = ["the mayor of new york was there", "machine learning can be useful sometimes","new york mayor was present"]
sentence_stream = [doc.split(" ") for doc in documents]
bigram = Phrases(sentence_stream, min_count=1, threshold=2)
sent = [u'the', u'mayor', u'of', u'new', u'york', u'was', u'there']
print(bigram[sent])
Output
[u'the', u'mayor', u'of', u'new_york', u'was', u'there']
Gensim is really awesome 🙂