I can add this...there is no Anthem of BCBS of Illinois. There is only BCBS of Illinois. Anthem is usually out of California. I am in Illinois, for reference.
We send all our BCBS claims, regardless of state, through the local BCBS, no issue.
As Michele said, cannot provide further issue on denial, without further info. What was billed, exactly? CPT, ICD-10, etc.