I've had the same problem with Chicago and Lake Michigan. There's a V7
airway that isn't too far offshore, but when I filed from Gary to
Madison Saturday via V7, they sent me instead straight north (actual
course about 010 with strong NW winds). I asked for closer inshore
after about 15 minutes and they gave me an amended heading to 340 (big
deal, still left me at 350 with the crosswind). The Chicago Class B
might almost as well be an ADIZ for all the entry they allow except
that you can sneak underneath VFR.