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In "Edge of Tomorrow" (or "Live. Die. Repeat.") the protagonist Cage was railroaded and dumped on the forward operating base Heathrow. He is woken with a kick, and has to deal with the man in charge of the new recruits, US Army Master Sergeant Farell. Cage asks:

Cage: Name is Farell (?)
Farell: That's right.
Farell: Master Sergeant Farell.
Cage: Master Sergeant Farell, You're an American.
Farell: No, sir. I'm from Kentucky.

Why exactly would Farell say that? He's obviously American. He's from Science Hill, Kentucky, in the US. His uniform has the U.S. flag on his shoulders. It seems odd he would deny being American, normally a point of pride for jar-heads like him.

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    Unfortunately I don't have a source here, hence only a comment, but to me it seemed clear that Farell was just messing with Cage here. Yeah, Kentucky is part of America, hence replying No to the question is technically nonsense. That's the joke. Of course Cage is not really in the mood for jokes at that time, which is why he fails to acknowledge Farell's superb sense of humor in the scene.
    – ComicSansMS
    Dec 2 '16 at 13:23
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    Or, possibly the implication that being from Kentucky is even MORE American than "American." Or maybe a civil war butt-hurt thing where southerners claim a separate identity.
    – PoloHoleSet
    Dec 2 '16 at 16:23
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    It is definitely meant to be a joke. Kentucky was part of the confederate states during the Civil War so its not unthinkable that someone from Kentucky would hold onto the idea of being an individual over being part of the whole. I think its just a part of the characterization. I immediately compared the response to one that a Texan might give.
    – sanpaco
    Dec 2 '16 at 18:04
  • Identification w/ one's state is a norm and in no way denies citizenship. Prior to the civil war one said "the United States are ...", after the war, "the United States is ....". Such was the effect of the war. States are pre-emend in the Constitution and homogenatey caused by a growing federal government is a modern thing. The South has a proud military heritage. They have always volunteered for the armed services in greater numbers (relative, at least) than north of the Mason Dixon Line. And it is historical fact that the CSA had superior military leadership.
    – radarbob
    Dec 3 '16 at 3:53
  • Its a joke, but its also not. Kentucky remain neutral in the Civil War and basically became under union control. After the war it remained a Commonwealth, (technically speaking we only have 46 states and 4 Commonwealths). Its also a Kentucky thing in the military, much like Texas. Texas guys say the same thing because of some thing in their annex agreement. They can leave the union anytime or something like that and form their own states. Heard this several bazillion times from soldiers from both states. I'm pretty sure this is why they chose it in the script, but Texas would go over better
    – Marcus
    Jul 12 '19 at 0:30
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According to this interview, it was more about attitude than location:

Tom also told me that Christopher McQuarrie wrote Master Sergeant Farrell with you in mind.
Yeah, Chris came in, and me and Doug [Liman] and Chris kind of worked that out. There was a thing where we were going to make him from Texas, but then we kind of made him this Kentucky guy. I think one of the best lines is when Tom says, "Oh, you're American," and I say, "No, sir, I'm from Kentucky!" And Tom loved that, because he's originally from Louisville. A lot of people don't know that. His mother is total Louisville, and she came out to visit, and she's a Kentucky lady, for sure. So I just played him like Randall McCoy from Kentucky.

The McCoy that Paxton speaks of is the Patriarch of the McCoy family, best know from the world famous Hatfield and McCoy dispute (yes, that was a real dispute).

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This is actually something of a trope, and may well derive from a specific type of military humor.

There is an oft-times repeated story of a U.S. Army major visiting the wounded in a WWI French hospital in 1918. As the story goes, the major asked a young soldier if he was indeed an American. "No sir," he replied, "I'm a Marine." (Ref US Marine Corps In World war I 1917-1918, Osprey, by Henry/Pavlovic, 1999) [Source: http://www.angelfire.com/ca/dickg/soldier.html ]

Not the exact same material, but both jokes have the same structure.

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