Oddly, an IMDB search on shooting locations brings up the fact that RKO used archive footage from Gary somewhere in Anatole Litvak's remake of LE JOUR SE LEVE, THE LONG NIGHT (1947). It's been a long, long time since I watched that one, so I am forgetting (if I ever knew in the first place...) that the film was supposed to be set in Chicago--assuming that this is even true. (I applaud Litvak's taste in films even as I often need to avert my eyes from his flawed attempt to channel the magic of Marcel Carné...)
They also apparently shot some scenes in Gary back in 1974 for Ivan Dixon's interesting "black espionage" tale THE SPOOK WHO SAT BY THE DOOR.
More recently, the colorfully named horror film CHICAGO ROT (I kid you not) shot there as well, though I think the "rot" was not Gary itself, but some supernatural detritus that was actually located in Chicago (and, clearly, menacing the inhabitants there)...