And what is the reason the joke is about Chicago and not Boston? Gallows humor needs something to work with and it seems that Chicago delivers on that.
That joke would be funnier if Chicago was even in the top 10 for violent crime, but it's mostly a joke about how "Chicago" and "Boston" are two of the 4 cities every American can name.
People's perception of violence is exponential in both per capita and geographic density. And Chicago has the blessing of being both being big, dense and violent enough to easily climb the mindshare ladder.
