Lyric discussion by DerekDMOZ 

Cover art for Chicago Promenade lyrics by Jason Isbell

I figure he's using Chicago Promenade as a metaphor for either suicide or just death in general. I didn't find any suicide rate increases til 2010 so the catalyst for creation is still unknown. Could be alluding to the organized crime in Chicago and dancing with them? Then I thought maybe the death of Jay Bennett of Wilco fame and an of again an on again Chicago resident maybe a clue, but the song was written before his death and his death was sudden.
Good thing is sometimes I've heard Jason in interviews and he'd allude to kinda what he was thinking, either way...I'm gonna make this one my own bandaid for loss. Derek

My Interpretation