I wouldn't be embarrassed. Those squirrels were probably wild caught (vs factory farmed), and the fact that they didn't waste the brain shows their resourcefulness.

Those are,after all, the same things we (rightfully) laud in the consumption of other types of more normative food animals. Just because it's a squirrel shouldn't change that.

EDIT: Added editorial wording to second paragraph.

Aw don't be embarrassed. It's a cool little bit of history. Growing up in the bible belt, I remember many charity events were accompanied by a stew. You could buy it by the quart. My local volunteer fire department made a stew twice a year and everyone in the community looked forward to it. My grandfather and father used to cook stews for my birthday. The act of cooking a stew was an all day affair and pretty fun by itself. Everyone would sit next to the stew cauldron and fire on a cold fall/winter day and take turns adding ingredients and stirring.

I've heard more about my home state's alleged consumption of squirrel brain outside the state than in it. And I have a couple kitschy KY cookbooks with recipes for burgoo, entirely rodent free. Every place will have hillbillies who eat odd game meat, if you search hard enough. KY just seems to be a popular target for this topic.