Yes Lake Michigan is in Chicago.
Mrs. O'Leary owned the cow near where the fire started. There was no proof that the cow started the fire.
Mrs. O'Learys barn. Near the intersection of Jefferson Street and DeKoven Street. The Chicago Fire Department Training Academy now sits on that location.
Of the cities listed in the question, Pittsburgh is in the southwest corner of Pennsylvania, which is not near the Great Lakes. Salt Lake City, Utah is in the southwest US. Great Falls, Montana is in the northwest USA. That leaves Chicago Illinois as being found on the Great Lakes.
The Chicago river leads to Chicago. The north and south branches converge near the Trump building along Wacker drive before emptying into Lake Michigan near the Suisse Hotel.
lake Erie
No, it's in Nevada and nowhere near the Great Lakes.
The Lake Erie.
Lake Tanganyika
Yes, Soldier Field in Chicago is located very near to the lake in the South Side of Chicago. There are many vacation properties in that area that are right by the lake and ae available for rent and for sale.
The Great Salt Lake is near Salt Lake City.
Near the O'Leary barn in the alley behind 137 DeKoven Street, but it was not started by a cow kicking over a lantern.