Accepted an offer in NYC, fiancé is having difficulties finding jobs here but has an offer in Chicago - Can I continue to recruit?

I recently accepted an offer as a derivatives trader in NYC however have some opportunities to interview in Chicago still. My fiancé is having issues finding job offers in NYC, but has an offer in Chicago - would this be a reasonable excuse to continue the recruiting process while having an offer accepted? If my current firm found out I would be unsure how to spin it to where I could keep the offer in NYC, but I'm not sure the probability they'd find out.  

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