Small Town is Unrelated to Naivete
His being a small Wisconsin town had nothing to do with his innocence/naivete. He had been self-sheltered his whole life. Small towns have prostitutes and drugs, too! I know! I'm from a small town!
He insists that he is in a relationship with his former teacher, even though she repeatedly tells him otherwise! There's a nearby airport, and he knows the people who work there, but he's never been on a plane. He's considered a joke by his own colleagues at the insurance firm, all of whom are from the same town!
This film isn't making a point about small towns, it's just showcasing one specific individual who is a freak EVEN IN HIS SMALL TOWN!!
A very likable freak, though.