Police said the mayor was shot twice in the chest at close range and found in his car, which had crashed into a tree, KMOX radio, St. Louis, reported.
Investigators told the radio station the mayor had finished his shift at the Metro East Levee District and had been in his car with one of the people being questioned.
Officials said it was too soon to identify anyone as a suspect, although they did say one person was a "person of interest." Washington Park Police Detective Kim McAfee said Thornton, 52, was shot by someone who wanted to rob him.
Police said they tracked down a red vehicle witnesses said they saw two men driving away from the scene.
Family and community members expressed disbelief over Thornton's death, KMOX said. Thornton's son, John Thornton Jr., said his father was preparing for a busy day in the village.
"We were supposed to have a major clean-up all this week, and that's probably what he was doing," the son said. "He was probably just going around to see where he was going to clean up at."
East St. Louis, Ill., Mayor Alvin Parks, a friend of Thornton, called Thornton a "good family man" adding his slaying had "shocked" the area along the Illinois-Missouri border, the St. Louis Globe-Democrat online newspaper reported.
The Illinois State Police are investigating his murder.