Yes it is worth trying at the state level. The downside is it takes about 6 months to get a response because of the volume of requests they get. Your ancestor may have died in Milwaukee Co., and it is just misspelled too much or they just didn't look well, or they may have lived near a bordering county and were taken across a county line to a hospital, and died in a different county, or were visiting someone in another county when they died, both instances of dying in another county would result in no death cert in Milwaukee county. so make sure you put believed to be Milwaukee, so they won't rule out a name that matches, but a different county. Do you know when his wife died? Or there kids? Anything like that could lead you to the cemetery they are buried at, then you could ascertain a death date possibly, if they are all buried together.