I can't 100% answer your question because I have to show my FOID 80% of the time weather I am buying ammo in IL or IN.
If your driving to Chicago just take a slight detour to Indiana and get what your in need of. Cabelas is a short trip East of Chicago on I80/94.
Heck if your driving why not just stop in MO before you cross state lines?
NRA Life Member, SAF Member