You need some really nasty weather and delays at ORD so you can convince an agent that its just not worth it for you to take that last leg given the weather and delays, you'll get yourself to MKE on your own, can they just adjust your ticket to acknowledge you won't be taking the flight, etc. so it is still valid on your return. Of course you're SOL if the weather is nice and there are no delays!! I agree that your return should be ord-was ... btw, as much as I dislike them did you try WN to get to MDW?