A pride pecking order, eh.But you can say, "I am proud to be Scottish/German/Norwegian, etc." The reason is the history behind what is means to be White or Black in America. Since Black Americans were forced to come to this land in shackles and suffered through horrible mistreatment, being a "Black" American and proud of that is a way of reclaiming their history. Whereas, being proud of being "White" in America comes with the history of the label being used as the oppressors of the "Black" Americans.
But given that many Europeans did immigrate and weren't necessarily attached to that history, being proud of a culture that is separate from that oppression is fine.