If I understand the requirement correctly, the demand signal is in the warehouse Chicago and MRP should plan to receive the stock there from another warehouse..
Of course you can do this , by planning by site and warehouse the product in question.
You would need to mark site and warehousing as planning dimensions and on the item coverage group for that site and warehouse ( chicago) mark a transfer rule from another warehouse.
MRP will place the planned transfer order to fulfill Chicago replenishing from the original warehouse and then place on the origin warehouse a work or purch order depending on the "make or buy" policy you got associated with the product.
This assumes that Chicago warehouse will be refilled only from a specific warehouse that you would need to specify on the item coverage table.