Hell, Canadians usually correct me by saying ‘Canada is in America too’ when I tell them I’m ‘Mercian.
I agree with Latin Americans, for what its worth. USA is “United States of America” not “United States, America”. But its a useless fight. In Spanish Ill be precise.
Even Brazil is in America. This is why I dislike using the term "American" when referring to US citizens, it's hopelessly ambiguous: are you talking about the country or the continent?
However, after a few years in Central America I’ve broken myself of this usage. Spanish has an adjective for US people (aside from gringo, etc.) that I can use in Spanish, and when speaking English I find some other phrase. Note also that for many people in South and Central America “America” is what US people call “the Americas”: one continent, not three.
United States doesn't have an adjective. Colombian would be nice, but its also taken and now problematic.
Even that can be confusing. United states could also refer to Mexico, which has the actual name "United Mexican States". Someone from Mexico can rightly call themselves from united states.