I can't find Chicago-specific stats, but since 70% of Illinois lives in Chicagoland, statewide figures are probably close enough.
Illinois electricity production 2019 (most recent year I could find):
Nuclear (53.6%)
Coal (26.5%)
Natural Gas (11.7%)
Wind (7.9%)
Biomass (0.2%)
Hydroelectric (0.1%)
Source:
https://en.m.wikipedia.org/wiki/List...ns_in_Illinois
I believe that Illinois is one of the few states left that still leans so heavily on its old nuclear plants.
Additionally, these figures are from 2 years ago and we've probably had a couple more coal plants converted over to natural gas during that time. And wind plants across the Midwest are always being expanded, so probably a touch more of that now too.