As an addition to mauler's writeup I just thought I'd add what I have found earlier with regards to the the strange phrase "back to the land of California, to my sweet home Chicago".

In the middle to late 19th century, because of the gold rush, "California" became synonymous with wealth and money. This use was soon abandoned in general use. However, a lot of terminology no longer used in the white community used to remain in black English for much longer, sometimes for over a generation. So it's not unlikely that the term "California" was used to portray gold, wealth and success as Robert Johnson grew up.

From that perspective, the phrase makes a lot of sense. In the 1930s Chicago was certainly the place for a black blues musician to find wealth, success and money.