I suspect a lot of them grew up in families of a strongly religious bent. Families can't be "escaped" from when you're a kid. They then impute this to the town as a whole. But on the whole, as an adult, I don't see small towns in the US insisting on religious observance from a given person. You might have to "tolerate" a cross on the city hall's lawn, but considered on a global scale that's not exactly asking for a lot. (That is, considering that some sort of big imposition is, in its own way, pretty parochial.)

There's certainly other ways of getting on the wrong side of the rumor mill, but, then, I think a lot of times the answer there is that one must often seek out a community that accepts them. Many of the small townies that go to the big city and find some community that accepts them would find those communities just as hostile to the people they left; it's not that they're "more accepting", it's that they accept you. The big city is "more accepting" because there's more subcommunities to be a part of, not because it's full of magically superhumanly tolerant people. And small towns simply lack the size to have a wide diversity of niche communities.