Just as quick note to start things off, this is going to be painted in broad strokes. There will be individuals that have pride in their state on different levels. This isn't speaking for everybody.

The country that we now know as America was not originally founded as a cohesive whole. Instead, it was founded piecemeal through different colonial endeavors in what we now know as the Thirteen Colonies. Each colony had a different pattern of settlement and a different environment that shaped its culture as it developed. Each colony had it's own governor who was appointed by the crown and was a distinct political unit. The Continental Congress was made up of delegates from each state before the revolution. While they decided to rebel together and to form a continental army, they were still separate entities. They identified themselves as Americans in that they were different from the British but their homes were still in the states.

After independence, the Articles of Confederation established a government that was weak on the federal level with most of the power being in the hands of the states. While the Articles of Confederation were struggling, the Constitutional Convention was held to create a new government that would have a stronger federal government that balanced the desires of the states. Essentially, the original American identity wasn't federal, but state identity. People were Virginian or New Hampshirite first, American second. This has changed overtime but the pride in one's home state has lingered on.

I hope this helps.