Being an obvious foreigner can signal you have money and power without you having to say a word about it. In contrast, relocating to a small town in the US wouldn't bring such perks of establishing that the poverty stricken locals should defer to you and cater to you. Instead, you would be an outsider trying to "prove" yourself and get an in socially.
Going to a less developed foreign country allows some people to impose whatever mental models they desire on the landscape without having to try to understand local culture or respect it. To their mind, a less developed country is a social clean slate and folks their should just be grateful a rich Westerner has showed up with money to spend.
If you do run into problems, you can blame it on cultural misunderstanding and try to get a free "out" that no one would give you in a small town in your own country because you are expected to know better than that, even though the laws vary to some degree from state to state within the US.
For example, articles about Westerners drinking alcohol in a Middle Eastern country and being arrested for it are generally viewed sympathetically in the west. Readers are generally on the side of the person who drank alcohol and are critical of the "backwards" country forbidding alcohol. In contrast, if you smoke marijuana someplace where it isn't legal in the US, you get vastly less sympathy from most folks because you are supposed to know better than that.
The idea of moving to some other country that is super cheap and where the living is expected to be easy if you are a Westerner is rooted in historical colonialism. It's really rooted in an expectation of taking advantage of the locals and of their country while telling yourself you are doing only good things for these uneducated heathens -- so viewed because they are not educated in the same things you are educated in, a point of view that stands in part because of your own unquestioned ignorance of their culture and history that you probably think isn't worth studying.
I have considered relocating to another, cheaper country, both because I come from a multi-cultural household and haven't been out of the US in a long time and because I currently have a limited income and the idea of magically solving my financial problems by moving someplace vastly cheaper sounds like a wonderful easy answer. So I understand the appeal.
But I think a lot of people make it work for reasons I find problematic and can't mentally replicate, in part because my mother is an immigrant, so I can't manage to see the local economy as some kind of clean slate that I can impose myself upon and that appears to be a large part of the appeal for some people.