I'm originally from Illinois (Non chicago) and I would agree with that sentiment. In fact, where I'm from, everyone called it the People's Republic of Chicago and the rest of the state as Kentucky proper . (As a joke of course) On a more serious note though it is frustrating from a political perspective when Chicago dominates stae politics so much. For example, the city of Chicago sued my town, because there was an obscure provision on our books that allowed a certain tract of land to be Section 8 housing. So the state jacked up our taxes to build cheap apartments and then literally bused people from Caprini Green (A project) to our sleepy little town. This was all done in the name of lowering Chicago's crime, not by fixing it, but simply moving it outside the city. I'm sure it had something to do with their failed olympic bid. (Another issue our town had to deal with)

But there is a state of Chicago on the map, at least it appears that way. Chicago is a state nestled within the state of Gary.