Joey thinks that the reason he and Mary Alice have not yet seen a stiff is because most of the dead bodies are at "the bottom of Lake Michigan, wearing concrete overshoes."
In the story, Joey proclaims that he and Mary Alice grew up during the era of Al Capone and Bugs Moran; these two gangsters were famous for terrorizing Chicago during the 1920s. In fact, today, it is Al Capone who is generally considered the one responsible for the St. Valentine's Massacre in Chicago on February 14, 1929; that was the day seven of Bugs Moran's associates were gunned down in cold blood. Joey mentions this episode in the beginning of the novel when he references the massacre on North Clark Street. He states that Chicago had such an evil reputation then that the "Thompson submachine gun was better known as a 'Chicago typewriter.'"
So, although Joey and Mary Alice lived in a violent town, dead bodies weren't easy to find. Joey surmises that this is because the dead bodies were likely buried at the bottom of Lake Michigan. During the turn of the century, Lake Michigan was known to be the favorite dumping ground for dead gangster's corpses.