Hmm, According to This, It's a Musical
Guy: Wait, what part of New York is Chicago in?
Girl: What?! Chicago isn't in New York! Chicago is its own state.
Guy: No, it's not a state! It's called the "windy city."
Girl: Oh, right. I guess it is in New York then.
Guy: Yeah.
Girl: Hang on, I'll look it up on my blackberry.

--Fordham University
via Overheard in New York, May 18, 2008