After graduating , Fey first had plans to do graduate work in drama at DePaul University in Chicago , Illinois . But `` I just got this feeling like it was n't going to work out ... ( that ) they were going to take my money and then cut me from the program . '' After graduating , Fey originally had plans to do graduate work in drama at DePaul University in Chicago , but `` I just got this feeling like it was n't going to work out ... ( that ) they were going to take my money and then cut me from the program . ''