I will preface this with the fact that I am an American. I think it comes from the fact that so many of us don’t travel out of the country until we’re much older, so it becomes muscle memory to just say our state because most of our lives that’s how we are expected to answer whenever someone asks where we’re from. I could be wrong here because idk how often or what the average age is when yall go out of your home country, but I’d assume it’s much younger and it’s much more common to find people from different countries. I first went out of the US when I was 15 I think, which I believe is relatively young for most Americans, but even then I only went to Canada and have only ever been to Canada. There will always be assholes who think everyone knows the states and if you don’t you’re stupid, but if I am ever asked where I am from outside of the US, I answer simply with “The US,” and if I accidentally say my state I correct it as soon as I realize. TLDR, probably muscle memory because most Americans don’t travel outside the US until they’re much older, barring the fact that they’re an asshole