Actually, as a Wisconsinite, being called a Yankee IS a pejorative. We wear our scars and harbor grudges for insane amounts of time.
During the 1957 World Series between the New York Yankees and the Milwaukee Braves, New York sportswriters dubbed Milwaukee as Bushville. The Braves won the Series and every Wisconsin newspaper had banner headlines screaming "Bushville Wins!"
Yankee has been a virtual swear word in Wisconsin ever since.
FYI, the term "cheesehead" was intended as a pejorative by Chicagoans against Wisconsin residents. We turned it around to a positive, unifying descriptive term and created an entire lucrative industry of cheese wedge shaped headgear.
Of course, we have our own term for residents of Illinois - who invade our resort towns, highways, lakes and parks every summer. In polite circles, they are called Flatlanders. In coarser circles, they are called FIBs or FIBbers - an abbreviation for Fornicating (this is a family forum) Illinois B****** (a person of dubious parentage).