Everyone is missing the point, yes it is a simple question,do you think a criminal or non us citizen is going totell the truth.
The thought occurs to me that they may not be looking so much for the answer to the question as much as HOW you answer the question. Will they be looking at your body language to tell them whether there may be deception on your part? (Do you squirm? Do you have trouble answering a simple question? Do you have to think about it? Do you stammer or change your answer half way through? Do you speak with a distinct accent or dialect?)
Maybe those things are what they're really looking for and the "what country are you from?" is just the standard question they ask to engage those they feel they may need to engage, for whatever reason.
I've been through at least two of those I-10 checkpoints between TX, NM and AZ, can't remember exactly where they were. Totally uneventful. One time, waved on through without stopping. The other time, I think I had rolled down the window and said "Good afternoon" as someone glanced into the car and immediately waved us on through. We were obviously not what they were looking for.
Honestly, on that long stretch of road, it can get pretty boring so a distraction isn't all bad anyway. I'd certainly rather deal with these checkpoints than the groping digital rapists at the airports. (I haven't flown in years, and those guys are the reason. Just won't do it.)