IMO It's an antiquated "state" thing. Take the following as an opinion of someone who lives here, not as absolute truth:
In the original ideation of the United States, states were more like the non-US definition of state… like a country, but all joined to a federal government for, shall we say, mutual benefit and economies of scale. Not dissimilar to what the EU is now. That changed over time, and now in the US a state is more like the worldwide definition of province than a country. That said, the notion of states as independent things still strives (especially in certain states cough*Texas*cough), so things like State History are very much a thing in school.
To share a quote I grew up with (though it doesn't apply to me), which may or may not help shine a light on the mindset, "American by birth. Virginian by the grace of God."
Addendum: It was so confusing growing up in this country, learning the US states, knowing there is a state of Georgia, then discovering there is a State of Georgia not realizing that in international news State is synonymous with Country, then hearing news about the State of Georgia and having no idea if it meant the one who's capital is Atlanta or the one that just became independent from the former USSR.
