It conveys a kind of breezy familiarity, which could be intended to suggest personal experience, or could be subtle snub - you hear plenty of people call the US

It conveys a kind of breezy familiarity, which could be intended to suggest personal experience, or could be subtle snub - you hear plenty of people call the USA "the States" to potentially both ends. In this case, people also use The Kingdom or KSA as short forms for Saudi Arabia, though the former doesn't save a lot of keystrokes...