Why do Nigerian e-mail scammers say they're from Nigeria? THIS CBS News article answers that question.
"But surely actual scammers would have realized by now that no one
believes a Nigerian prince will offer up thousands of dollars to random
strangers. According to new research, not only do scammers not worry
about people being skeptical - they actively encourage it."
"By sending an email that repels all but the most gullible the
scammer gets the most promising marks to self-select... This
is why so many email scams claim to originate from Nigeria - though
most spam emails come from elsewhere, including the United States.
Anyone with any degree of familiarity with Internet scams will
immediately close the email, leaving only the most susceptible victims
to actually read its contents."