Why is Good King Wenceslas spending Christmas in Chicago?

Because Christ wasn't invited.

School's inclusive Christmas excludes Christ
Chicago Tribune, December 6, 2004

Extract:

"When Norman learned about the holiday programs at Spring Grove Elementary, he issued a press release Friday targeting the school and warning against "discriminatory practices for people of faith."

"The program has cleansed itself of all references to Jesus and the Christmas story," Norman said of the Spring Grove pageants. "None of the other religions had their songs affected."

Norman painted Spring Grove as an example of a school so skittish about offending anyone that it has diminished Christmas and Christians--claims criticized and disputed by the school and its district superintendent.
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"The songs associated with Christmas on Wednesday were such favorites as "Rudolph the Red-Nosed Reindeer." Thursday's lineup included "Good King Wenceslas," a traditional Christmas song about helping the poor."

http://www.chicagotribune.com/news/local/chi-0412060170dec06,0,406660.story?coll=chi-news-hed