Growing roses just takes patience. I've been doing it for about 15 years with some sucesses and lots of failures.
First roses need sunshine and lots of it - mine are planted where they get sun all day as well as plenty of water is dry spells. Other wise they will won't bloom. Although I do buy hardy roses, I also plant the tender tea roses. What kills the tender ones is not the cold - once the ground freezes and there is a layer of snow, the become dormant and are fine - it's thawing out in the spring then having temperatures drop to abnormal lows as happened this spring.
The two I have shown here are a Teresa Bugnet (pronounced Boonyay) the first pic. and a William Baffin a hardy climbing rose. I'm thinking the William Baffin would look lovely on your pergola. The TB lost a few branches this spring, but it still stands nearly 8 feet tall and is covered in blooms now. The WB which had a lot of "winter kill" and I had to cut it down to about a foot high this spring (it's in the picture of the old bedframe), but it is already putting up lots of new branches.
I have another one called a John Davis which is planted by the back door, it too is a climbing rose but has nothing to climb on so it is always hanging over the step and getting in the way! It has light pink flowers and is so pretty but no smell.
All three of these roses are from Canada and are bred to withstand the cold, but you should be able to find them in Chicago. They are listed in the American Rose book.
The Teresa Bugnet is one of the few roses which will bloom repeatedly in the shade. I had a neighbour who had one planted on the East side of her house behind some trees, it never saw the sun but it didn't seem to care.