The “in Germany they also thought it can’t happen here” are making a false analogy. There is a big difference between a situation where a party like the Nazis is ALREADY in power and a situation where they aren’t. A guy living in Germany in the 1920s indeed had no reason to flee and was a lot safer than Jews in most of the rest of the world were at the time. Someone saying we have to leave Germany in the 1920s was making a foolish comment unless he was a novi. While it is possible that the situation in the US could rapidly change just like it did in Germany that possibility exists in other countries as well so there is no reason to go running to them.
Another factor to consider is that the US has far more things decided on a local level than most other countries. It is possible that some of the more liberal states will become unlivable for Orthodox Jews but not the US a whole