NNE is the direction you would fly.
north west
Haiti is 1762 South-East of Chicago Illinois.
north west
To get to Alaska from Chicago, IL you would travel northwest. It would be an interesting journey through Illinois, Iowa, South Dakota, Montana, the Rocky Mountains, Idaho, and Washington.
West. The trip from Chicago, Illinois to Sacramento, California would be in a westerly direction. Chicago is in the north central part of the US, and Sacramento, the Capital of California, is in the central valley in California. California is the state that is farthest west in the US (excluding Alaska and Hawaii).
If you would travel from Chicago to New Orleans you would be headed in a mostly south direction.
Based on information in your question (where you put the answer you are seeking) and my grade school geography class, Chicago, Illinois is in the State of Illinois in the USA.
That would be Chicago.
west
Travelling from Ohio to Illinois you would travel west.
That would be Chicago in the Great Chicago Fire.