Chicago option sounds great. But, with the CT trip you could head to NYC for a couple of nights (children's museum, natural history museum and Central Park zoo all good bets for that age plus plenty of kid friendly restaurants and amazing playgrounds). Lots of nice CT beaches (
http://traveltips.usatoday.com/nice-connecticut-beaches-59621.html). You could also do the DE beaches. Or, there is always the Jersey shore (ocean city, nj very kid centric). I live in Boston but to be honest never been that impressed with the cape. I like the north shore beaches (Cape Ann area in MA) much better. But, north shore MA might be too long a trek for you.