Why doesn’t the Democratic Mayor do something to protect Trump?
Funny you should mention that. Cermak Street in Chicago is named after Anton Cermak, who was the Mayor of Chicago when he was shot while standing next to Franklin Roosevelt in Miami, shortly before Roosevelt was inaugurated in 1933. Wikipedia thinks Cermak might have been the target, but what I learned in school a long time ago was that the shooter was a Puerto Rican separatist who was aiming at Roosevelt.
So that is the one documented story about a Chicago mayor doing something to protect a President. And it was either by mistake, or just a coincidence.