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Living in Chicago I can tell you that there are many settings here in the city that would be appropriate for the novel's setting even today, not to mention that the city is the novel's setting in the 1930's. Chicago's character would be charged with energy, a degree of sadness, and a widespread spectrum ranging from peacefulness to anger. In some places you find great beauty, well, up until you cross the next main street; the street dividing one neighborhood from another.
Chicago is a city of bright lights and dark alleys; churches and parks welcome the affluent and the needy, the park you take your children to play in lives side by side with the park benches which provide beds for the homeless. The downtown streets are clean, spectacular, and inspire awe in the visitor. But move off the beaten path, and you'll find another world of barred store fronts and wary eyes.
Chicago's character would be multi-faceted, maybe schizophrenic, but boy....... it would be interesting!