Cairo is the southernmost city in the U.S. state of Illinois and the county seat of Alexander County. A river city, Cairo has the lowest elevation …Cairo is the southernmost city in the U.S. state of Illinois and the county seat of Alexander County. A river city, Cairo has the lowest elevation of any location in Illinois and is the only Illinois city to be surrounded by levees. The city is named after Egypt's capital on the Nile and is located in the river-crossed area of Southern Illinois known as "Little Egypt". It is coterminous with Cairo Precinct.