All through the movie Jim and Huck talk about going down to Caro. That would mean they started in Minnesota, Wisconsin, Iowa, northern Missouri, or northern Illinois. Most of those are not slave states. If they had to get to Caro. A lot safer way to do it, for Jim. Would have been to simply cross the Mississippi from Missouri (which was a slave state) to Illinois and simply walk to Caro. He would not have had to worry about that route. It's not covered why they need to get to Caro so quickly. And therefore had to use the river. Why they just didn't keep to the Illinois side of the river. So they could ground their boat in Illinois if threatened.