Gary Indiana had a massive infrastructure for cooling and water diversion for their mega steel industry. Electricity already in place, again for steel industry, and anything it would sink would be a drop in the bucket of the Chicago metropolitan area (so Illinois would eat much of the externalities of whatever hypothetical minor price increase of electricity) grid that it's connected to and likely far less than they were using for their steel jobs.

Probably best to just let it stay an industrial wasteland shithole rather than put datacenters there.