Just drive!!! or take the bus!
In my dream world they build a high speed rail link connecting Chicago-ORD-MKE-Milwaukee and offer check in at any of the locations. But seeing as Tommy left WI for the big time I doubt any more will be done as far as improved rail service (which came very close to being a reality).
My guess as for Chicago is cost and competition. Besides they don't want to upset the people at AA who are giving them a lot of connections in Texas and Cali. I have read a lot about this in the Milwaukee journal and the majority think its better to keep the flat landers out!! It's a pride thing...