Even in England, which nobody would dispute is "one nation" (note that I used England here, not the UK), you can travel around to various regions and find exactly the same level of regionalism as you're describing. People from (say) Cornwall (extreme southwest) feel a distinctly different identity for themselves compared with (say) the far north east, and particularly with the southeast. We're talking across distances of just a few hundred miles.

So I don't think that this has anything inherently to do with "states" per se. People like to feel affiliated with a region and/or a community that they feel they can get their hearts and minds around. In the US, for so many reasons, "states" tend to be the natural attractor for such feelings. But even then, as you note, the "95ers" versus eastern OR is still a thing.