Chicago was the sin city of the 1920s—what happened in Chicago stayed in Chicago—often because you were given an offer you couldn't refuse if you even thought about squawking.
The city was huge, the second largest city in the U.S. at the time. And the sins were even bigger—sex, booze, and jazz. Fittingly, we spend most of the movie in smoky jazz clubs or dank prisons.
One of the few glimpses of the city occurs when Roxie and Fred run from the club to her apartment, when the filmmakers recreate with CGI what Chicago may have looked like then—dark and smoggy, with the L-train cruising by in the background.
All That Jazz
The Onyx Club is "a whoopee spot, where the gin is cold and the piano's hot." It's also where Roxie first sees Velma Kelly, and the seed of her desire for fame is planted. Onyx is a hard black stone, which makes the club sound vaguely dangerous: a place you go in the dark hours of the night, where the clientele is hardened and oh-so-cool. Plus, the name just sounds awesome.
The Cook County jail for women is kind of a safe haven, at least as far as prisons go. Mama is there to watch over her flock, and we're told "Cook County ain't never hung a woman yet." So what's there to fear?
Well, Roxie still wants out, so she dreams of musical sequences as a form of mental escape. Prison noises, like water droplets and footsteps become the "Cell Block Tango." Roxie's Heartbreak Hotel becomes a Jailhouse Rock.