@Ember, you sure it wasn't just a New York strip?
Up here, we call it Chicago, but many places call it Pittsburgh.
The steel mill explanation would make sense as to how it came to be (and why they'd call it Pittsburgh), but why we call it Chicago? No idea.
You can order any level of doneness as "Chicago" at the steak houses in Ontario - they just do a quick char on the steak after it's done.