Chicago has far more beautiful blue sky days than any city in which I've ever lived. Especially in the spring and autumn, it can seem like an enchanted place.
But Chicago is far from pristine when it comes to its air. Much of the time it looks beautiful because we're standing on the ground, looking up into the blue sky. But the air around us is filthy.
Here's a web site which shows the air quality from day-to-day: Illinois Air Quality Index
And here's a photo illustrating the problem: