I heard a podcast recently say ChiLo was a mega city encompassing Chicago and St. Louis.
Clearly this is wrong. It is Chicago to Louisville, taking in both Cincinnati and Indianapolis.
Per this thread on BGG, ChiLo is confirmed to be Chicago to St. Louis in Worlds of Android. I'll check on that when I have access to Worlds of Android and remember to, but in the meantime, the discussion on that thread is an interesting read!
In the "Worlds of Android" book, it is given as a crime-syndicate-created megapolis from Chicago to St. Louis, which I agree is obviously intellectually incorrect but there we have it
I may be misremembering, but I believe Damon has said that it was an homage to a route on the Underground Railroad that connected those two cities.