A book I probably won't be reading

Saturday, Stacey had me read the first paragraph of The Riddle of the Traveling Skull, by Harry Stephen Keeler, an oddball mystery novel from 1934 that's been returned to print by McSweeney's. It doesn't strike me as something I'll want to read, but I'm looking forward to hearing about it from Stacey, if only because of the author's liberal use of exclamation marks.

Anyway, here's the opening:

I knew full well, when the Chinaman stopped me in the street that night and cooly asked me for a light for his cigarette, that a light for his cigarette was the last thing in the world he really wanted! I knew, in short, that he was up to something! For Chinamen, even in Chicago, that London of the West where most anything can happen, do not stop white men on the street and ask for lights—even though the said Chinaman was garbed in American apparel, as this particular one was when I first had dealings—of a sort—with him.

Can any of you tell me what he means by calling Chicago "that London of the West"?