going to Chicago

LITTLE BROTHER: I'm going to go to Chicago so I can marry Cute Little Girl In My Class!
ME: You have to go to Chicago to get married?
LB: Yeah! It's the Windy City. (sighs in disbelief at the stupidity of his mother)
ME: Okay, I don't get what the Windy City has to do with getting married.
LB: Because it's Chicago, Mom. Chicago?
ME: Oh, of course.