If this has been asked before, please forgive me!

I have always wondered what city they live in?
McGovern tells Connor that Rooney has been spending too much time in Chicago and Michael goes to Nitti, who works in Chicago for Capone.
Michael drives through the night to get to Chicago, so I'm guessing they live in Illinois.
However, Chicago is very close to both Indiana and Wisconsin. Capone was known to have a hideout in Wisconsin.
Wikipedia states that "The Chicago Outfit is also known to have large interests in neighboring states including Iowa, Wisconsin, and other areas of the Midwest."
Also, he's taking Michael to "the lake," which could mean Lake Michigan, which is next to Chicago. But, cities like Fort Wayne is just as close to Lake Erie as it is to Lake Michigan.
If this has been answered before, please forgive me and thank you in advance for your help!