Henry: Portrait Of A Serial Killer

Henry is a drifter who murders scores of people - men, women and children - as he travels through the country. He migrates to Chicago, where he stops at a diner, eats dinner, and kills two waitresses.
Otis, a drug dealer and prison friend of Henry's, picks up his sister Becky, who left her abusive husband, at the airport. Otis brings Becky back to the apartment he shares with Henry. Later that night, as Henry and Becky play cards, Becky asks Henry about the murder of his mother, the crime that landed him in prison. He tells her he stabbed his mother because she abused and humiliated him as a child, though he later claims he shot her. Becky reveals that her father molested her as a teenager.
The next day, Becky gets a job in a hair salon. That evening, Henry kills two prostitutes in front of Otis. Otis, though shocked, feels no remorse. He does, however, worry that the police might catch them. Henry assures him that everything will work out. Back at their apartment, Henry explains his philosophy: the world is "them or us".
Henry and Otis go on a killing spree together. Henry says that every murder should have a different modus operandi so the police will not connect various murders to one perpetrator. He also explains that it is important never to stay in the same place for too long; by the time police know they are looking for a serial killer, he can be long gone. Henry tells Otis that he will have to leave Chicago soon. The pair then slaughter a family, while recording the whole incident on their video camera, then watch it back at their apartment.
Becky quits her job so she can return home to her daughter. Otis and Henry argue after their camera gets destroyed while Otis is filming female pedestrians from the window of Henry's car. Otis gets out of the car and goes for a drink, while Henry returns to the apartment. Becky tells Henry her plans, and they decide to go out for a steak dinner. After, she tries to seduce him, but he seems scared of her advances. A drunken Otis enters and asks if he's interrupting anything. Embarrassed, Henry leaves to buy cigarettes. He returns to find Otis has raped Becky and is strangling her. Henry kicks Otis off her and a fight ensues. Otis gets the upper hand and smashes a bourbon bottle onto Henry's face. Otis is about to kill Henry when Becky stabs Otis in the eye with the handle of a metal comb. Henry stabs Otis, forcing him to bleed out and dismembers his body in the bathtub, telling Becky that calling the police would be a mistake.
Henry and Becky dump Otis' body parts in a river and leave town. Henry suggests that they go to his sister's ranch in San Bernardino, California, promising Becky they will send for her daughter when they arrive. In the car, Becky confesses that she loves Henry. "I guess I love you too", Henry replies, unemotionally. They book a motel room for the night.
The next morning, Henry leaves the motel alone, gets into the car and drives away. He stops at the side of the road to dump Becky's blood-stained suitcase (strongly implied to be containing her dismembered corpse) in a ditch, shortly before driving off again.

Question: where did Henry migrate to
Answer: Chicago