I get the opposite where people think I'm from Canada. There IS a difference between being from Toronto and being from (nearish) Milwaukee!
No. They aren't mistaken. They are erring on the side of caution. Canadians get upset if you confuse them with Americans however an American won't care if they are mistaken for Canadian.
I've had so many Scots tell me exactly this when they ask what part of Canada I'm from.
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