This isn't the most elegant, but add it as a property with something like this:
$VMs = @()
Foreach ($cluster in (Get-Cluster)) {
Foreach ($vm in (Get-VM)) {
$vm | Add-Member -membertype NoteProperty -name Cluster -value $cluster.Name
$VMs += $vm
}
}
$VMs | Sort Cluster | Select-Object Cluster, Name