Milwaukee has a predominantly W-E interstate I-94, and when it hits Lake Michigan it simply turns 90 degrees, fairly sharply, to the south, and gets renamed to 794.
Confusingly, there is also a I-94 that also turns south a few thousand feet west of 794, and I94 and 794 run in parallel for several miles.
Note that only I-94 goes to Chicago; 794 just kind of "stops" at the Milwaukee airport.
If you'd like to see the cancelled "Lake Freeway" you can see parts of the partially constructed abandoned project in the movie "The Blues Brothers" from 1980. There is a long history of turmoil in the story of the "Lake Freeway" in Milwaukee, which seems to have dramatically negatively impacted the economic success of the local area due to generational uncertainty. Its a very poor city and their anti-poverty strategy seems to be periodic infrastructure demolition and reconstruction; it hasn't worked so far but they've only been trying that since WWII so maybe it'll work next time ...
(edit: to summarize, if you're trying to get to Chicago from the NW via I-94, if you end up on 794, you are very lost, but at least you've visited a VERY controversial construction project)