It's bigger than that though. The whole concept of feeling proud about something to which you had no input seems very strange to me.
And, even ignoring formal political 'input' (or the simulacrum of same), we all make the culture and economy as neighbors and workers. When a smart, productive, and freedom-loving person with many options chooses to live closer to me, under the same standing rules, it's a positive indicator about my desirability as a neighbor and an external validator of choices I've made previously. Hence, 'pride'.
That depends. I assume you are the most google'able Mike from Bath Spa. I stayed in UK to finish Bath Uni, so lecturers from there could probably feel proud of creating an environment where I felt welcome enough to stay for a longer time. It was their input into my environment and education and it did make a difference, because I still live in Bath.
Then again, this would be a personal situation and not "I feel proud, because some known guy wants to live in my country".
The number one product of a legal jurisdiction is providing a desirable place to live. The political system is designed to make citizens feel like the local jurisdiction is 'their' product. When your target market embraces your product, pride is natural and healthy.
An immigrant doesn't have to 'love' the USA more than the mother country; indeed the freedom to still love the ancestral land but build cool stuff here is one of the USA's greatest hacks. (Brain drain FTW!) The immigrant's children will 'love' their new land; that's more like a chick imprinting than any rational choice.