From Muppet Wiki

The state of Illinois is the 21st state, located in the Midwestern United States. Its largest city, Chicago, supplied the name of Chicago the Lion, and in the 1970s, local hockey team the Chicago Blackhawks played a match against Sesame Street characters.

• Muppets Inc. produced a series of commercials featuring Wilkins and Wontkins for Kraml Dairy, a local Chicago dairy, in 1958. The ads ran until 1962.

• In an Elevator Operator Grover sketch, Mr. Johnson explains that his mother lives in Chicago.

• In Follow That Bird, Big Bird flies to Oceanview, Illinois to live with the Dodos. Although many of Big Bird's adventures back to Sesame Street took place in "Illinois", the scenes were filmed on location in Ontario, Canada.

• In Sesame Street Stays Up Late!, Oscar the Grouch attempts to make a long-distance call to his mother in Slime River, Illinois.

• In The Comic Muppet Book, Scooter thinks that he's hired Snowdon, a famous British photographer. Instead, he hires Duke Snowdon, a hayseed photographer from Illinois.

• A Chicago pennant can be seen hanging in the background briefly during The Muppet Show: Sex and Violence.