Er, well, my headcanon says that most humans don’t recognize nations. They don’t know they exist. They may feel a strong emotional connection when in their own nation’s presence, but they won’t be able to pinpoint it to anything; they just don’t know.
So when America was at war, he was there. He was just another soldier. And one day, he happened to be a soldier directly in the line of fire. Had he been mortal, he was about to be killed.
Until one of his own men sacrificed himself to “save” him.
Only America knows that this man died for nothing; it tore at his heart to know that someone — especially one of his citizens — was lost trying to save him. So he found that soldier, and he took the jacket off his body, and he put it on.
He must always protect his people. He won’t let them suffer in vain. He will protect them. And the jacket is there to remind him.