I think it depends on the type of game you play. I play racing games, Grid, Forza etc and these are all over the world. Recent Shooters, COD 4 and COD WaW are set in France, Germany, Russia, the Middle and Far east.
Halo 3 had a big bit set in Africa and Dead Space was in outer space. In fact other than occasionally racing around san francisco or las vagus, i cant recall a game i have played in a long time just set in the US. Perhaps you should broaden your horizons.
Your right certain game types are set in specific locations. Your question then refers to those games that you like. The point being that if you don't like that they are all set in America then get into a difference type of game.
I suspect the reason they are set in America is because the core audience for these games are Americans and its where they can sell.