The theory is that it's due to ethnic/economic homogeneity.
i.e. In a homogeneous society, people recognize everyone else as being like themselves, and are therefore more inclined to make sacrifices (i.e. paying taxes) to support benefits for others in that society, because they can empathize with them.
I'd also add economic equality as a starting point. In that case, you have a state where the vast majority contribute towards the common good, and the vast majority benefit from the same common goods. So everyone pays towards schools and hospitals, and everyone uses those schools and hospitals.
Such things are easier to achieve in small countries, both population and geography wise, but there are exceptions, as you mention.
Now, if we take countries like the USA, we have considerable ethnic diversity and economic inequality. So - rightly or wrongly - people don't feel as much of 'we are all in this together, we are all the same'. And there ends up being a distinction between contributors (the wealthy, who pay a lot of tax but don't use public services) and recipients, who pay little tax but use those services.
Politicians will exploit this, of course. Indeed, this is the real reason why you might say that the US is 'not suitable' for a high-tax/high-welfare system; it is simply too easy at the moment for some politicians to gain traction by playing off different groups against each other.