problem with JOIN query
In the original query, you're using LEFT JOIN, so that will return results for the priority table, even if there is no successful join to the city table.

To match that query, use ->leftJoin instead of ->join

https://api.drupal.org/api/drupal/includes%21database%21select.inc/function/SelectQuery%3A%3AleftJoin/7.x

Otherwise, your query should be correct and you don't have a priority for chicago.