Most people don't...if you say Illinois, most people respond "Near Chicago?"
While most of the people in Illannoying live in Chicago and the collar counties, geographically it's a very small part of the state...I live about 220 miles from Chicago...and about 90 from St. Louis, MO. If you say you live near St. Louis but in Illinois, people look at you confused and don't understand...
When I lived in upstate NY, I found it similar when people would always assume NYC. But I was about 3.5 hours away from NYC.
Now that I'm in Arizona, people just assume I live in a hole in the ground.