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It is a bit strange but I want to cite in the section heading. But I couldn't find anything that works for me. I tried to do as per the suggestion with square and curly brackets, but that didn't even work for me. It shows error. It may be due to my settings. I'm using laulatex compiler, natbib for bibliography and IEEEtranN as a bibliography style.

Working code is mentioned below:

\begin{filecontents}{\jobname.bib}
    @article{two,
        title={Die neuen Vierventil-Ottomotoren fur die mittlere Braureihe von Mercedes-Benz (Germany)},
        author={Abthoff, Von J and Huttebraucker, D and Zahn, W and Bockel, H},
        journal={Mtz},
        volume={53},
        pages={496--508},
        year={1992}
    }
    @inproceedings{three,
        title={Strategies for NOx reduction in heavy duty engines},
        author={Al-Sened, A and Karimi, E},
        booktitle={Proceedings of the 23rd CIMAC Congress},
        year={2001}
    }
    
    @misc{four,
        title={Deutsche Stiftung Weltbevölkerung},
        author={Bundesministerium für Wirtschaft und Arbeit},
        year={2003/04},
        publisher={NOAA}
    }
    
\end{filecontents}

\documentclass[a4paper, 12pt, headsepline, twoside, openright, parskip,fleqn]{scrreprt}

\usepackage{soulutf8}
\usepackage{anyfontsize}
\usepackage{titlesec}
\usepackage{fontspec}
\usepackage{unicode-math}
\usepackage[numbers]{natbib}

\setul{0.3pt}{1.5pt}

\makeatletter
\newcommand{\ulex}[1]{%
    \let\@mkboth\@gobbletwo % neutralize \@mkboth in unnumbered chapters
    \expanded{\noexpand\ul{#1}}}
\makeatother

\titleformat{name=\chapter}
{\normalfont\fontsize{14}{16.8}\bfseries}
{\ul{\thechapter\enspace}}
{0em}
{\ul}
\titleformat{name=\chapter,numberless}
{\normalfont\fontsize{14}{16.8}\bfseries}
{}
{0em}
{\ulex}
\titleformat{\section}
{\normalfont\fontsize{12}{15}\bfseries}
{\ul{\thesection\enspace}}
{0em}
{\ul}
\titleformat{\subsection}
{\normalfont\fontsize{12}{15}\bfseries}
{\ul{\thesubsection\enspace}}
{0em}
{\ul}
\titleformat{\subsubsection}
{\normalfont\fontsize{12}{15}\bfseries}
{\ul{\thesubsubsection\enspace}}
{0em}
{\ul}

\bibliographystyle{IEEEtranN} 
\bibpunct{/}{/}{;}{n}{}{,}
\renewcommand{\bibnumfmt}[1]{/#1/}

\begin{document}
    
    \tableofcontents
    
    \chapter{Thermodynamics}
    
    \section{Heat \cite{four}}
    Propagation of turbulent flames \cite{four} in spark-ignition engines is considered from the viewpoint of the different possible regimes \cite{two} of premixed turbulent combustion.\cite{three} Nondimensional parameters defining known combustion regimes are reviewed, 
    
    \medskip
    
    \bibliography{xyz}
    
\end{document}

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