It's more "Sh-caw-go". Some refer to it as "Chi-town" and that's where you'd get the "Shi" sound.We have a great diversity of people from all over the world here so I’m sure some people pronounce it differently according to their accents. The correct pronunciation is shi-caw-go. But many pronounce it Shi-caaah-go. I haven’t met many people who pronounce it with a hard CH sound though!