IOW, go as Captain Kirk if you can’t find any 20s clothes. Everybody’s got Star Trek TOS uniforms, right? Just talk funny and put your phasers on stun.
Every fall for the past few years a seasonal Halloween costume shop has opened up on Clybourn in whatever storefront they can get cheap. There’s one there now. I forget the name or exact address, but if you drive down Clybourn between Fullerton/Ashland and Armitage/Racine and look on the NE side of the street, you can’t miss it. 1920s gear (flapper dresses, top hats and swallowtail jackets, etc.) is a costume shop mainstay; I’m pretty sure you’ll find something.