According to wikipedia most don't originate from Nigeria, but claim to do so, which to me only ads to the mystery.
The takeaway as I recall is that filtering out potential victims who have heard of the scam as quickly as possible is the most profitable move.
Or Article : http://gizmodo.com/5919818/why-nigerian-scammers-say-theyre-...
Quite clever and counter-intuitive really.
The idea is this: Nigeria is a common place for such online scams. It is so well known, that only the most gullible and unaware people would believe and respond to the emails. And, guess what kind of people the scammers are looking for ...
Using a different place runs the risk of getting too many responses with a high percentage of those who are smart enough to soon quickly realize it is scam, so now scammers wasted their time on that.
They'd rather use bad English, really stereotypical phrases and so on. It is a good filter.