For starters, your Irish or Swedish ancestors may all have married Irish or Swedish people for several generations. There may not be a huge mixture of ancestors from all over. America hasn't historically been the melting pot some assume it was.
There may also be a particularly heavy influencer in a certain direction in recent generations - a parent or grandparent. Even if people were aware of ancestry going back to a certain European country, people also died younger than they do, or they just left home and never returned; widowed spouses remarried, knowledge of even known ancestral lines could easily be lost.
People also lost contact with their relatives from the old country in the era of mail that took months, assuming the emigrant ancestors could read and write, or that they lived long enough in one place to receive answering mail, or that they lived in a place with a functioning mail service. People lost connections to their own siblings and parents even within the US.
As I mentioned upthread, there wasn't any such thing as 'German' identity until it was foisted on widely varying individuals and communities by the pressure of war - Germany became a loosely organised unitary state only in 1871 and long after that it remained more of an idea than a reality as far as national identity was concerned. Prussians and Bavarians didn't have a lot in common even if they ended up farming in the same county in Minnesota - the Prussians were probably protestant and the Bavarians likely Catholics for starters, with a lot more cultural, linguistic, and culinary differences on top of that. They would not have considered themselves German, and many actively suppressed that element of their ancestry when WW1 broke out.
There's a popular programme on PBS called Finding Your Roots, hosted by Henry Louis Gates, where famous people learn of ancestors and ethnic heritage they never suspected they had. Some had ancestors who had made documented contributions to the American Revolution of the Civil War.
Another thing to consider when it comes to puzzlement at people telling you they are Irish or Scottish Americans in particular is that those are the people you are most like to encounter in the UK or Ireland, and also that British people or Irish people are the ethnic group they are most likely to encounter on their travels in the islands off the NW coast of Europe. These American tourists may well move on to Scandinavia and introduce themselves as Swedish Americans to their compatriots several generations and thousands of miles removed. All these people are trying to do is break the ice or find some common ground in friendly fashion. That is exactly what the parents of friends of one of my DD's did. They knew they had ancestors from England, Wales, and Sweden.
Italian Americans visit Italy in droves - you don't see them exploring their heritage in out of the way parts of the UK, therefore, and they're not likely to introduce themselves as proud Italian Americans as a means of finding some commonality with the British people they meet in the Lake District or wandering around St. Paul's.