The Blues Brothers

Jake Blues is released from prison after serving three years for armed robbery, and is picked up by his brother Elwood in a battered former Mount Prospect police car, replacing their old Cadillac. Jake approves it as "the new Bluesmobile" after Elwood demonstrates its capabilities by jumping an open drawbridge. The brothers visit the Roman Catholic orphanage where they were raised, and learn from Sister Mary "The Penguin" Stigmata that it will be closed unless $5,000 in property taxes is collected. During a sermon by the Reverend Cleophus James at the Triple Rock Baptist church, Jake has an epiphany: They can re-form the Blues Brothers Band, which broke up while Jake was in prison, and raise the money to pay the tax bill.
That night, Elwood is pulled over for running a red light, and the state troopers attempt to arrest him for driving with a suspended license (resulting from 116 parking tickets and 56 moving violations). After a high-speed chase through the Dixie Square Mall, the brothers escape. The next morning, as the police arrive at the flophouse where Elwood lives, a mysterious woman detonates a bomb that demolishes the building, but miraculously leaves Jake and Elwood unharmed, and saves them from being arrested.
Jake and Elwood begin tracking down members of the band. Trombonist Tom "Bones" Malone, drummer Willie "Too Big" Hall, rhythm guitarist Steve "The Colonel" Cropper, bassist Donald "Duck" Dunn and keyboardist Murphy "Murph" Dunne are now performing as a lounge band, "Murph and the Magictones", at a deserted Holiday Inn, and quickly agree to rejoin. Trumpeter Alan "Mr. Fabulous" Rubin, now the maÃ®tre d' at an expensive restaurant, turns them down, but the brothers refuse to leave the restaurant until he relents. On their way to meet the final two band members, saxophonist Louis "Blue Lou" Marini and guitarist Matt "Guitar" Murphy, the brothers find the road blocked by a Nazi Party demonstration on a bridge; Elwood runs them off the bridge into a Jackson Park lagoon. Marini and Murphy, who now run a soul food restaurant, ignore the advice of Murphy's wife (Aretha Franklin) and rejoin the band. The reunited group obtain instruments and equipment from Ray's Music Exchange, for which Ray (Ray Charles) accepts an IOU.
As Jake attempts to book a gig, the mystery woman blows up the phone booth the brothers are using; once again, they are miraculously unhurt. The band stumbles into a gig at Bob's Country Bunker, a honky-tonk outside of the city. They win over the rowdy crowd by playing the theme to Rawhide and Stand By Your Man, but run up a bar tab higher than their pay, and infuriate the country band that was actually booked for the gig, the Good Ol' Boys.
Realizing that they need one big show to raise the necessary $5,000, the brothers persuade their old agent (Steve Lawrence) to book the Palace Hotel Ballroom on Lake Wazzapamani, north of Chicago. They mount a loudspeaker atop the Bluesmobile and drive all over the Chicago metropolitan area promoting the concertâand alerting the police, the Illinois Nazis, and the Good Ol' Boys of their whereabouts. The ballroom is packed with blues fans, police officers, and the Good Ol' Boys. Jake and Elwood perform two songs, then sneak offstage, as the tax deadline is rapidly approaching. A record company executive offers them a $10,000 cash advance on a recording contractâmore than enough to pay off the orphanage's taxes and Ray's IOUâand then shows the brothers how to slip out of the building unnoticed. As they make their escape via a service tunnel, they are confronted by the mystery woman: Jake's jilted ex-fiancÃ©e (Carrie Fisher). After her volley of M16 rifle bullets leaves them miraculously unharmed, Jake offers a series of ridiculous excuses. Miraculously, she believes him, and the brothers escape to the Bluesmobile.
Jake and Elwood race back toward Chicago, pursued at high speeds by dozens of police cars, the Good Ol' Boys, and eventually the Nazis. They elude them all with a series of improbable maneuvers, including a miraculous, gravity-defying escape from the Nazis. At the Richard J. Daley Center, they rush inside the adjacent Chicago City Hall building with hundreds of law officers of every conceivable type in hot pursuit. At the office of the Cook County Assessor, the brothers pay the tax bill. As their receipt is stamped "paid", they are arrested by the mob of law officers. In prison, the band plays "Jailhouse Rock" for a group of joyous, dancing inmates.

Question: What city are Jake and Elwood headed to?
Answer: Chicago.