Nicola opened his own show here on Feb 15, 1931. A letter from Chris Charlton to Howard Thurston, as published in MAGIC (Aug 2011), mentions that Nicola was still playing there in March 1931.
The theatre is currently closed, but remains inside what is now the Fine Arts building. It opened in 1898.
Link: "Historic Studebaker Gets Another Moments in the Spotlight" at Chicago Tribune
Studebaker Theatre