I would definitely recommend the Marcus Center for Performing Arts. We had our reception at the Bradley Pavillion and it was AMAZING! Plus, the catering was outstanding. I've never had such good food (at such a great price) at a wedding.
What about the Grain Exchange Room? We had our reception there and it was fantastic, but they can set up for both ceremony and reception, I think. The Eisner Museum is really cool, modern loft space, but I'm not sure if they could accommodate 250 (but you could definitely check, it is pretty awesome). Other ideas might be the art museum, Wisconsin Club, Astor Hotel, Hilton Downtown, Pfister, or the Lakefront Brewery (if you're looking for a less formal space) but I have no clue what the capacity of those would be or if they'd be willing to do both the ceremony and reception.
My husband and I were married in Milwaukee 2 years ago at a catholic church, but then we had the reception at the Milwaukee Zoo. I have heard of other people having the ceremony and reception right at the zoo and they have accomodations for 250+ guests.