According to this list, Illinois ranks 9th on total tax burden(9.52%) (state only, not federal taxes), and the difference between the highest (New York @ 12.79%) and the lowest in the lower 48, (Tennessee @ 5.74%) is 7.05% (only 3.78% between Illinois and Tennessee).

https://wallethub.com/edu/states-with-highest-lowest-tax-burden/20494

Of course, median income in Illinois ($65,886) is higher than Tennessee ($53,320) indicating generally better earning potential.

https://worldpopulationreview.com/state-rankings/median-household-income-by-state

I do agree it is more expensive in the Chicago Metro area than downstate Illinois where I live. I have much more house for less property taxes, pay lower sales and gas taxes, and can generally buy goods and services cheaper living in a rural area. I also have to drive longer to get to work and have less choices and amenities close by, so that is a trade off.

Running a business is harder and a little more expensive in Illinois, but I don't think for this industry, it is enough of a difference to move. And, if you want to be in a world class city with a midwest work ethic, local talent and parts suppliers, Chicago/Illinois is a good choice.