What does "by way of" mean?
Wiktionary shows the sense “By the route of; through; via” for by way of, versus the sense “passing through something (as a place); via something” shown in thefreedictionary. A person giving “Pennsylvania by way of Illinois” as where he is from typically means born in Pennsylvania, grew up in Illinois.
This is from Mad Men. Don Draper was actually born in Illinois and came to Pennsylvania after his father died. He was raised thereafter in a Philadelphia whorehouse. So he really should have said "Illinois, by way of Pennsylvania".