I know this is the popular broad stroke concept of between wars American culture but in reality it was a lot more varied. The 'United States' was anything but united in that era. Huge numbers of blacks where migrating north to Chicago to work in manufacturing, different states had very different relationships with ethnicities and religions. NYC was always a very Jewish city for example.
Another example of rejecting assimilation and celebrating other cultures were the German American Bund as you note, with large rallies etc celebrating the German National Socialist movement by German immigrants.