Why doesn't he just travel east across Illinois?
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They travel downstream to reach Cairo, where Jim believes he can catch a steamship up the Ohio River. On a raft, they cannot move against the current but Cairo will offer the chance to switch rivers and find a way upstream via stronger boat. Jim cannot flee by land because a black man seen traveling alone would be quickly captured in hopes of a reward. Floating down the river offers easier disguise.
Jim needs cover! Huck has a lot of trouble dealing with the right and wrong of helping Jim. It becomes a moral dilema on more than one ocassion, but regardless, friendship and a sense of "right" rule the day. Huck is on a journey; Jim is trying to escape, and every time time they reach a point where it might be possible to separate.... something happens to threaten Jim's escape. Eventually, fate takes over and they're separated after their raft is destroyed by a boat on the river.