Donny is just an example name like Joe Shmoe

In Illinois, rich people live in Chicago ("upstate"), and tend to be more liberal, whereas rural folks downstate are conservative and less wealthy.

"Downstate" means south of Chicago (which is located in the NE region of Illinois).

As others have said, downstate means "south" Illinois. I'd add that it also means rural, instead of urban (Chicago, in up-state). The term "downstate" can't be universally applied to mean rural though; if we were discussing the same situation in New York, we'd talk about "upstate Donny".