There was a terminal 4 which I believe was just for international arrivals (maybe departures as well). I'm not sure what happened to it, I believe it was like on the ground level somewhere near one of the existing terminals.
As for the name of Terminal 5: "When Terminal 5, O'Hare's international terminal, opened in 1993, the designation of Terminal 4 was reserved for the next predominantly domestic terminal. But since then, United Airlines and American Airlines, the largest carriers at O'Hare, flinched at the escalating cost of Chicago's World Gateway terminal expansion project--now more than $3.6 billion. Terminal 4 is stuck in a holding pattern."
--Jon Hilkevitch of Chicago Tribune
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