Welcome to Paris on the Prairie, the City of the Big Shoulders! Our motto is Urbs in Horto, Latin for City in a Garden and we do a pretty good job of making it so.
The word 'chicago' is a poor translation of the Miami-Illinois people's word meaning something like stinking, fragrant, blue, or wild onion. The area the first non-indigenous people settled near the mouth of the Chicago River was mostly swamp (the Illini must have thought it silly). And swamps must a good place for onions to grow because there were so many wild onions the order created a blue haze you could actually see it rising up into the sky. The neighborhood of Blue Island gets its name because of it.
Someone tried to give us the nickname The Big Onion, trying to emulate the city-whose-name-shall-not-be-spoken's similar but fruitier nickname, but it never caught on.
So you're now in the Heart of America. We’re The City That Works located in The Great State of Chicago. OK, we’re in the Great State of Illinois and proud to be, but please remember: “there is no noise in Illinois” because the ‘s’ is silent in Illinois (but both ‘s’ sound like a ‘z’ sound when saying ‘Des Plaines’). Sandburg called us 'hog butcher for the world' in his poem "Chicago" and rather than be offended I think its a badge of pride for most. It only takes a minute to read, but like all good poetry, takes much longer to appreciate.
And yes My Sweet Home Chicago feels like Chi-beria during our windy winters, but Windy City was not a nickname given because of the weather. "Windy City" is a result of a newspaper editorial from the city-whose-name-shall-not-be-spoken which read something like “the nonsensical claims of that windy city.". It almost certainly refers to our boastful, talkative, ‘windy’ politicians and probably was published while Chicago was competing with the-city-whose-name-shall-not-be-spoken to host the 1893 World’s Colombian Exposition.