Local Naturalization Records
In Lake County, Indiana your ancestors could have been naturalized in East Chicago, Gary, Hammond, Crown Point, or the Northern Indiana District of the Federal Courts in Hammond.
If your ancestors were naturalized in the Northern Indiana Federal Court in Hammond, the index to the holdings is at the Chicago branch of the National Archives on Pulaski. Once you have the index information the paperwork can be obtained from the Federal Court House in Hammond.
If your ancestors were naturalized in Crown Point, you can contact the Northwest Indiana Genealogical Society for a copy. There are also copies at the Lake County Public Library in Merrillville.
All other cities contact the state archives at www.in.gov/icpr/archves.