I'm looking for any plausible reason for the USA to have some land either in Europe, just off the coast of Europe, on the Mediterranean coast, or an island in the Mediterranean. It doesn't have to be very big, but must be big enough to have a decent sized American town, and be thought of as part of the USA. (Big enough and important enough, politically, that a European nation grabbing it would be instant war.)
It need not be a state, and could even be part of a mainland state.
POD can be any time between 1776 and ~1920, preferably pre 1900, though, so that the enclave is there when World War I starts to simmer.