This is the right answer, but it is not OPs fault, it is a typical custom of Americans. I saw it invariably happen while living in Europe and interacting with a highly international community (Americans were the only ones that answered "where are you from" with a state, everybody else, including Canadians, Indians, Russians, Mexicans, etc named their country)

The more pervasive bias is to think countries are the best way to carve reality at its joints.

Well I'm US:California, but definitely not SV.