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West.  Basically anything West of Iowa is (or was) considered "the West".  States like Ohio, Indiana, Illinois, etc were between (or midway from) the Eastern coastal states and "the West".  Thus, those in between states were considered the "Midwest".  At least, that's how I understand it.   But you're right, the term is odd considering states like Indiana are actually East of the midway point from the East coast to the West coast.  Nonetheless, we're still considered the Midwest all the same. 
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