While you could probably find cheaper places to live in the US than California, and therefore find much more agreeable tax rates, it's not that easy. Culture varies a lot in the US. I love the South, but a some folks would rather drink poison than live there.
And you can't forget property taxes. These vary at the county or city level and can be quite significant. And, just for fun, they generally pay for the public schools, which depending on where you are may be abysmally awful, so now your "tax rate" includes stumping for private school, which could be the equivalent to a year's salary in some Nordic countries.
If you want to compare the real costs and benefits of starting a business you need to compare like for like, which includes all national, state, and privatised taxes and other indirect costs.
When you include those the reality-based answer is that the US fares relatively poorly.
Which is why the US has a more aggressive VC sector. Whether by accident or design start-ups are forced to look for outside funding far earlier, and bootstrapping is far harder.
The result is more of a monoculture that chases unicorns and less of a vibrant sector of independent small and medium businesses, some of which will grow into unicorns naturally.
Your mileage will of course vary a lot depending on specifics, and especially which US states you compare with.