Since the low Chicago fares can't be combined with other cities on the same ticket, people outside the WindyCity can find separately a cheap ticket to Chicago and build their own connection to save big bucks.
This takes on many forms, like the unique Chicago-style hot dog in the WindyCity or the uniquely Philly roast pork, provolone, and escarole sandwiches served in the City of Brotherly Love.
The Gotham of Christopher Nolan's The Dark Knight is actually Chicago, and for the residents of the WindyCity, having their city chosen to depict urban dystopia is just another thing to be proud of.