Outside, or Outdoor trees, that can be grown in the Chicago area, without any winter protection
Pinus sylvestris - scots pine - excellent for bonsai
Pinus banksiana - jack pine
Pinus bungeana - chinese lacebark pine
Pinus nigra - Austrian black pine, or European black pine. - these are better for larger scale bonsai, over 3 feet tall.
Pinus parviflora - Japanese White Pine - only good if on its own roots or grafted on a hardy pine's roots. Unfortunately many are grafted on Japanese black pine roots which is not fully, or reliably hardy in Chicago area.
Pinus thunbergiana - Japanese black pine, JBP, these on paper "should" be hardy in CHicago, in practical experience will not be reliably hardy. Every 5 years or so a cold enough winter comes along and kills JBP. Not good for Chicago.
Pinus mugo - Mugo pine - very winter hardy, good for bonsai.
Junipers, all seem winter hardy in Chicago area, I just set mine on the ground for the winter.
Juniperus chinensis, including all shimpaku varieties. Juniperus horizontalis, Juniperus squamata, and the native western Juniperus species. Avoid Juniperus virginiana - the eastern red cedar, they are difficult to make acceptable bonsai. Some do have success, its just that they have "issues" that I find not worth fighting with.
Picea - Spruce - most of the spruce available in the landscape nurseries are excellent for bonsai and do not need any protection from cold during winter. Just setting pots on the ground for winter seems adequate. Picea glauca densata - black hills spruce is probably the best species for resilience and cold tolerance.
Maples - Acer rubrum makes good larger scale bonsai, Acer ginnala - the Amur maple is very very winter hardy. Amur maple makes excellent bonsai, even in smaller size trees.
Elms - any of the invasive weedy elms you find around the back yard make good bonsai. Ulmus americana - has large leaves but they reduce quickly to quite small with ramification. Ulmus pumila - Siberian elm - needs full sun or it will drop branches on you, otherwise excellent. Ulmus thomasii- native rock elm is good, Ulmus rubra - slippery elm is good. Ulmus parvifolia - the Chinese elm - can be grown as a tropical and yet is fully winter hardy in Chicago area. My Chinese elm is in the back yard as I type.
Boxwood - Buxus sempervirens - the european boxwood - this one is fully winter hardy to -25 F. The other species of Buxus are hit or miss as to how hardy they are. If the tag does not say "sempervirens" the boxwood may or may not be hardy.
Crataegus - hawthorns - all the hawthorns make good outdoor bonsai for Chicago area
Malus - apples - most of the flowering crab apples are excellent as outdoors, just set on the ground, winter hardy trees.
Ginkgo - Ginkgo biloba - perfectly winter hardy when planted in the ground. In a bonsai pot, the roots are sensitive to Chicago winter cold. If in a pot must protect from cold in Chicago winters. - not hardy, even though you see them in the landscape.
So the above are just a few of the species that do well here in the Chicago are as bonsai. THey are all fully winter hardy.