@rbos Americans will say that this is necessary because their country is big, but it comes with this built-in assumption that everybody in the world will just know where, say, Montana is, or even what it is.
Canada is a big country too but Canadians will say they're from Canada. Maybe they'll say the west side of Canada or the east side of Canada or the French speaking part of Canada, but you're not going to meet a Canadian abroad who says to complete strangers that he's from, say, Nova Scotia.