I always assumed this must be some kind of New York affectation, but no. On the website of the MTA, which runs that city's elevated lines, you'll find instructions like this: "For service to Manhattan, transfer between the shuttle bus and L train"
Dennis McClendon, The Encyclopedia of Chicago: "Chicago's rapid transit system has been known as the 'L' since before the first line opened in 1892. "Let me quote from the website of the Chicago Transit Authority: "CTA’s train system is called the ‘L’, short for "elevated." And yet editors stubbornly cling to "El". If someone told them his name was Lynn, would they still insist on calling him Lynne, or Lin, perhaps even Linwood, or whatever else might strick their fancy?
Mike Royko: "You'd think he's been riding the L all his life."
Andrew Greeley: The Bishop and the Missing L Train
Writers of Chicago unite! Fight the debasement of our language. You have nothing to lose but your means of living.