Puerto Rico is an unincorporated territory of the United States. So from a federal/country level, all income is US, and you don't have any concerns there. You will owe US Federal taxes, as you're not a Puerto Rico resident (which would exempt you from federal taxes).
As far as state taxes go, if you live and work in Illinois, you will pay Illinois taxes. Your employer should be able to withhold those for you; talk to your employer to make sure that's happening correctly.
It's possible your employer will withhold tax for Puerto Rico; if so, you may need to file a Puerto Rico tax return to have that returned to you.
There are exceptions to this, though, depending on the exact details of your work; it's best to check with a tax specialist who specifically knows Puerto Rico law. In Chicago there should be lots of those, as there is a strong Puerto Rican community.