Obvious Answers:

  • Misplaced pride in their country.
  • Unaware that things are better elsewhere.
Less-Than Obvious Answers:
  • They tried but were rejected because their application wasn't in English or was full of misspellings such as "colour" and "honour".
  • The USA is a a Christian country and they're not.
  • They tried "giving the country" to us but the landmass was too great and they couldn't afford the postage.
  • The rulers of those countries don't want to give up their status.
  • They did, but the Columbine shooting happened the same time so it just didn't make it into the news.
The Truth:
  • The US isn't so great.