Again, IDEALLY, a person in state is usually best. But this is a desperate situation. The IL GOP did what they felt the circumstances required. Now, they've made their pick, and we'll just have to accept it. It would be best to back them up on this, and not make a win any harder by harping on this irrelevant issue.
And if you can't find a good conservative from Illinois to run, then obviously Illinois doesn't deserve a good conservative. As the great political pundit said: the great part about democracy is that it garauntees people the government they deserve.