How do I adjust for heterogeneous labor markets when calculating the wage premium?
It all depends on how you define the 'wage premium between different areas'. 

The average NY resident makes $51,000 more per year than the average IL resident.

There are 110 medical workers and 90 natural gas workers in NY and IL combined, so you could try weighting the wage premium of medical workers by 110/200 and the wage premium of natural gas workers by 90/200 to give a combined wage premium of $45,500. This will tell you how much more or less a person chosen at random from the whole population will earn if they work in the same industry that they are currently working but in a different area.