I looked at the weather from MDW yesterday, and as it was clear all day, it sure doesn't appear to be a weather diversion.
Most likely, it was some type of mechanical problem (hydraulic system failure, engine shutdown, unsafe gear indication, etc.) that was incompatabile with MDW's rather short runways. Some 737-200 mechanical problems require the use flaps-15 for landings, and that setting requires faster landings speeds, and thus more runway, which MDW doesn't have.
Another possibility is that (assuming Vanguard even serves ORD) was that a MDW flight "flag-stopped" ORD to pick-up passengers from another Vanguard flight that had mechanical problems. It does happen, but again, that assumes that in this case that Vanguard serves ORD.
ALL views, opinions expressed are mine ONLY and are NOT representative of those shared by Southwest Airlines Co.