I think it’s a joke that American houses (in the eyes of Europeans) are made out of sticks (stud framing in the house) and paper (drywall is made from gypsum and has a paper backing)
In European countries, their houses are made of tougher materials like stone, concrete, or some other material I’m forgetting about
It’s a known thing in America that stray bullets end up in people’s houses (and sometimes their residents) when it’s an American holiday like 4th of July or Memorial Day