The show airs on the eve of CNN's Feb. 25 GOP debate from the same city.
Trump has been highly critical of Kelly following her questioning of him at the first Fox GOP debate, but Fox has stood by her in the face of Trump's criticism. A Fox spokesperson said Trump was invited, but "declined given his conflicting schedule since he’ll be in another state." But at least one of the other four candidates will appear remotely from another state.
Kelly will interview each candidate separately, with an audience of Texas voters who will get to pose questions, too.
The town hall format has grown in popularity as a complement to the candidate debates.
On site will be Sen. Ted Cruz and Dr. Ben Carson, with Sen. Marco Rubio appearing remotely, and Gov. John Kasich, appearing remotely from New Orleans.
Fox reports that its coverage of the South Carolina primary, where Trump won a big victory, was the most watched in the history of that primary.