It's not even a culturally US-based thing. If anything, it might be the culture of some specific places in the US, likely places where programmers are dime-a-dozen and you can afford to exclude good people because great people are applying too. In the Midwest or Appalachia or most places in the South and most places in the prairie, companies are just glad someone is applying.

I have absolutely no hard evidence to back this up other than anecdotes from my network of colleagues, but the only places I've ever heard of doing programming challenges during an interview is the kind of places where programmers collect en masse. SV, Seattle, Austin, NYC, Boston, the places where when you post a CS job, you expect thousands of qualified candidates to apply.