I do it because the first message board I was on had lots of people using their city followed by a variant of Cane, and I didn’t want to be MilwaukeeCane. My dad worked for an airline, so I picked up the airport code for Milwaukee for my name. This was back in '02 or so I’d guess. I use MKE just for the shorthand when writing, but never refer to it as “the M K E” or anything like that. For example, I’m taking a road trip in a couple months to see some friends in different cities. When I was sorting out the dates, it was easier to just write the three letters for the cities I’ll be visiting than repeating Milwaukee over and over when I emailed the various parties involved.
There was also a free weekly newspaper here a few years ago called MKE, so that may be why others have picked up on it. I’m not sure why the paper picked that name, though, and it’s now defunct.