I’ve experienced this combination in several places across the nation. Is this a thing, and if so, what’s the origin?
I haven’t seen it near me in Colorado, but I almost never go the the sweet side of my grocery bakery, or out to get baked sweets.
But, sweet and heat is a very, Very common combination of flavors. Most of my Latin influenced hot chocolates (and puddings) have a combination of cinnamon/cassia and chili peppers of some sort or another.
For example
I became ill just thinking of cinnamon rolls with Chili. You owe me a roll of Tums.™
I have never heard of that and the combo sounds vomit-inducing.
I want to say I’ve never heard of it, but the combo sounds very vaguely familiar. That said, I’ve not seen it. The flavors make sense to me, but I’m a cornbread guy. Chicago for my area.
I know that some chili styles (in particular, Cincinnati / Skyline style*) contain cinnamon as an ingredient, but no, I’ve never seen cinnamon rolls specifically marketed alongside / in combination with chili.
@Son_of_a_Rich , you mention seeing this “in several places” – it might be helpful, for this conversation, if you could provide some details (region, type of restaurant, etc.)
*- And, yes, I know, many chili fans don’t consider that to actually be chili. 
Did the OP mean cinnamon rolls with some sort of chili powder as an added ingredient? I think that’s what @ParallelLines was responding to, and that makes sense to me.
Cinnamon is already a warm spice, and chili is just warmer, so I can see adding some chili to a cinnamon roll recipe. Maybe reducing the sugar at the same time (because so many cinnamon rolls are way too sweet anyway). More of a balance between the sweet and the heat.
There are some bulk black teas, at various purveyors of same, called Hot Cinnamon Spice, and not all of them rely on cinnamon for the heat. They are very good, and I would go for a sweet roll with that flavor profile.
No, they mean chili is paired with a cinnamon roll as a sweet side.
Very common in Kansas.
So, several articles agree with this, as a regional thing, in the western part of the Midwest, and the Northwest. The articles suggest it might have originated in school lunches.
The quote is from the first link below (Smithsonian):
For what it’s worth, I lived in the Midwest for a major chunk of my adult life and never heard of cinnamon rolls as a preferred side with chili. So, saying “the Midwest is obsessed” with this combo is a grotesque exaggeration.
*I only tried Skyline chili once in my life, it was nothing special, and I don’t recall seeing cinnamon rolls on the menu.
Definitely agreed; I’m more-or-less a lifelong Midwesterner, but in Wisconsin and Illinois; the “obsession” appears to be in particular pockets of the Midwest, and not around anywhere that I’ve lived, or visited regularly.
It’s people mislabeling the Great Plains as part of the Midwest.
From the local drive thru chain:
Well then, I was wrong in my assumptions, and apologize for it. However, thanks to the correction, and the resulting imagery, I also developed instant heartburn, and like @carnivorousplant, want a roll of tums and my precious, precious ignorance back!
Which fits with the articles I found, indicating that Nebraska was a state in which it is a popular combination.
That said, I only knew that you were referring to Nebraska as “local,” because I’ve heard of Runza. Is there any reason why you’re shy about actually naming the state? (I don’t know you well enough to know what “local” means to you. 
)
This is the first I’ve heard of it, so Minnesota is apparently not part of the Midwest.
I’ve heard of it online but never seen chili & cinnamon rolls offered together. I’m a rice & balsamic vinegar guy myself.
Actually it was school meals in Kansas City, Fort Dodge, Iowa, and Lincoln, Nebraska (my current locale) so I guess it’s kind of a dead center of the country thing. I was thinking at one point that maybe it was some how a gummint thing.
And, in an interesting coincidence, I just saw a post from Alton Brown on my Facebook feed, which he had made yesterday, from a Runza restaurant in Lincoln, Nebraska…and he is, in fact, eating chili on a cinnamon roll.
Cinnamon rolls and chili is normal for me. Grew up in South Dakota, grandparents moved there from Ohio.