We're not sure how Lucy Liu ended up in Chicago, especially since she only has one scene and no song. But what a scene it is! In a few short minutes, Liu, as Kitty Baxter, blows away her husband and the two—two!—women he's in bed with.
She's dragged to prison, where she apologizes (if you can call this an apology):
"Sure I'm sorry. Sorry I got caught."
She then kicks two photographers. One of them is listed in the credits as "Groin Reporter," so you can guess where she kicks him.
Kitty Baxter is basically the personification of everything the press loves—sex, murder, and scandal. Kitty's brief appearance causes the lights in Roxie's fantasy number to go out on her, making her desperate to regain her fame. So she fakes a pregnancy.