I don't know much about Maryland, but Missouri mostly wanted to just stay out of the fight, but several figures, chief among them Fremont, provoked the Confederate supports, so to speak.
Also, on moving the capital: I think Chicago is too small and remote from the rest of the country at this time to really be a good choice. The city did not take off until after the fire, really.
Chicago had a population of almost 110,000 in 1860 while DC had a population of only around 14,000 according to the US Census of 1860.