to avoid Wi withholding you must file with your employer the form at this link
https://www.revenue.wi.gov/TaxForms2017through2019/w-220.pdf
if you did, you, your employer should have withheld Il w/h not WI. you can talk to your employer about this. no assurance they'll do anything.
if they don't, you'll have to file a nonresident return in Wi and you will owe Illinois income taxes
Residents of Illinois, Indiana, Kentucky, or Michigan Don’t include on line 1, column B, wages earned while a
resident of one of these states. Under agreements with these 4 states, Wisconsin doesn’t tax the wages of their residents.
If your only Wisconsin income is wages earned in Wisconsin while you were a resident of one of the above states, and
you are filing to get a refund of Wisconsin tax withheld in error, fill in 0 on lines 1 and 31, column B. Fill in the Wisconsin
tax withheld from your wages on lines 59, 70, 71, and 72. Enclose your Wisconsin W-2(s). Sign your return (both spouses if filing a joint return).
