Hi, I have seen two ways that my ancestors went from Nova Scotia to the US:
1) by car or rail from Nova Scotia to St Stephen, New Brunswick -- crossing over to Calais, Maine.
2) by boat from Yarmouth, Nova Scotia to Bangor, Maine.
There are other routes depending on whether they went to Quebec or Ontario from Nova Scotia.
As for travel to Chicago, I am not sure but likely by train, car, or I believe by boat on the St Lawrence River.
I know that on Ancestry they have under Immigration -- records of border crossings from Canada to the US.
Probably not a whole lot of help but hope a little!