Roman Catholicism isn't exclusively European based. While many things were incorporated from pagan religions/beliefs of Southern Europe, the actual content of the religion originated in the convergence of old world continents that is the middle east. I guess since Europeans(especially Romance Europeans though of course some Slavic, Baltic, and Hellenic peoples as well) are the main source of the religion it could be considered European oriented as of today.
As for me, I chose Europe as that has been both the homeland of some recent ancestors of mine(such as my grandmother) and the homeland of some distant ancestors. I have a connection with Europe, and my country(the United States) is based off of Western(Greco-Roman) values. I do also have a connection with the land of the U.S, but that connection is more of a ownership type rather than a romanticized one. I enjoy the strong cultural values and nationalistic ethnic identity that you would find in European countries when compared to the Globalized nature of the United States. The rest of the continents I either have no direct or indirect connection to, or they are a place that I personally would like to live despite what ethnic(though of course non relevant to my person) value they may have.