Haha, yeah, that example is pretty extreme, (and stupid).
I think what explains the phenomenon is that because The USA has been such a dizzying ethnic melting pot, immigrants clung to their heritage as a way to keep a semblance of normalcy during a time of upheaval and hardship in their lives. Ethnic bonds were strengthened as a means to gain traction as a group. Just about every European immigrant group succeeded because they were able to establish themselves this way. So whereas one's ethnicity and traditions seemed an afterthought in Europe, in America they became an instrument to get a foothold and gain power. Those ethnic tags stuck, even if one's relationship to Europe became more and more tenuous over time and generations.
But it's also been a way to differentiate oneself from other groups. Italians and Jews could be mistaken for each other, Germans and Danes, etc., so loudly and proudly declaring your ethnicity could sometimes save your skin. It's also a pastime here to talk about how your family came here and how they established themselves. The stories can be incredible, and usually are. I think a lot of Americans also feel like they owe it to their immigrant ancestors not to forget where they came from, and we shouldn't. Despite the time and distance, we carry on the same traditions, share the same myths, sing the same songs. So I think its natural if part of us wants to feel a connection with the land where we draw so much of our identity. I'm American, but I'm also Irish, Dutch, English and Italian. Maybe it seems silly to you, but it's fundamental to me. It adds more meaning to my life.