When I used to work trade shows my standard response was Peoria, which is about halfway between St. Louis and Chicago. Of course there was one foreigner, from Taiwan; a supplier of ours no less, who would proclaim in his excitable broken english, Illinois! Chicago!
Yes, Chicago I'd have to answer because it was really not worth trying to explain. Thank god we don't live in southern Illinois. No wonder why they hate everyone north of I64.