"Is the US Treasury % of my capital gain distributions exempt from tax in Illinois?"
I suspect you will answer your own question in the negative after reading the language on page 3 of Publication 101 (quoted below the link).
http://www.revenue.state.il.us/publications/pubs/pub-101.pdf
If you receive income from bonds or other obligations that are exempt from Illinois Income Tax, the exempt amount you are entitled to claim is the interest net of bond premium
amortization.
