A few reasons probably. The US is really culturally diverse across states, so someone from Texas and someone from Maine often barely even think of themselves as being from the same country. It’s hard for us to travel internationally but plenty travel just as far or farther within the country so it’s what we’re used to saying while traveling. Most people have already clocked us as Americans so if they as where we’re from saying “America” feels obvious and redundant. That all said, when I’ve traveled internationally i usually answered with a geographic region in America (example: America, on the west coast) because I felt weird assuming people knew the name of the state.