According to Wikipedia
Serifed fonts are overwhelmingly preferred for lengthy text printed in
books, newspapers and magazines. For such purposes sans-serif fonts
are more acceptable in Europe than in North America, but still less
common than serifed typefaces. (CITATION NEEDED)
Even on Wikipedia, it's not clearly confirmed.
The first font types were probably sans-serif if you go far back in time and if you look at how letters were often carved (eg. runic). And then the script became more popular with the transcriptions and later the serif with the invention of printing. Apparently, sans-serif became really popular for body text only after WW2. It could be cute to think that Western Europe has some old genetic memory of their ancestors writings, but... that's sounds a bit like a nationalistic or sentimental point of view!
I couldn't find any paper or studies about Western Europe vs America preferring sans or with serif but I'm tempted to think it's a cultural and artistic difference more than some kind of standard. What I've read seemed based on opinions rather than real studies.
I think we can agree that Western Europe has been a pioneer with modernism and America is considered more conservative; these trends influence pretty much every aspect of life for each population. In a lot of case, you can look at art posters and easily guess if it was created in France, Germany or America.
For people with dyslexia, I also found out that the readability of a font type could be related to familiarity; it could be the same for people who don't have any reading disability as well. That's why I don't think there's any real study on this; human beings can read pretty much anything and it's a matter of training and quickly recognizing "symbols". For example, most designers recognize faster and more easily a wider range of fonts and styles of letters than non-designers; their brain has recorded more symbols in a lifetime than "untrained" people. Some people even have hard time recognizing letters like in this example below.
People in Western Europe are probably simply more used to read the sans-serif than the "classical" America who is shown most of the body text in serif, and got used to it. The reason why Americans probably used serif fonts more often in the body text could be again related to cultural distinction; they also have other standards different than Europeans such as the units they use and some grammar differences (color, colour), etc. The only other reason I could see why one side of the world prefers sans-serif or not could be to look at the statistics on dyslexia in these 2 populations; Since it has genetic causes, that could make sense but it seems a bit far fetched. According to this small study, sans-serif is easier to read for people with dyslexia.
And if you compare digital versions of newspapers or government websites between Western Europe and America, you will find that both use a lot of sans-serif and it probably has more to do with style than standards/preferences (Canada gov., USA gov., Time Magazine, CNN, USA Today, The Globe and Mail, etc.) If you look at The New York Time, they use serif but it also makes sense because it's kind of part of their branding and the conservative image they want to project to their audience.
It seems like there's no supporting evidence (data) that Western Europe or America prefers one type or another, besides cultural and artistic preferences. There's observational evidence though. It might have been more obvious 20-30 years ago, but not anymore. There's also less "standards" in design now, no more "iconic" font creator and art is going through some kind of open-source new age; there's not as many school of thoughts or tradition left on that matter as there were in the last decades. In 10-20 years, maybe most of the hardcore American designers who have as standard to use serif for the body text will be retired and no one will be able to claim that America = serif.