America is the short answer. There’s little doubt that pies containing sweet potatoes were being made in the British Isles (and almost certainly other parts of Europe) ever since the explorers first brought the things back from the New World to the Old in the 1500s. Still a true sweet potato pie — which, like pumpkin pie, is actually a cooked custard in crust — didn’t appear until much later, and then in the States.
Sweet potatoes were a staple food in Colonial America, especially in the South where they grew especially well. Indeed, Hernando de Soto observed them being prepared by American Indians in Louisiana in 1540. People ate them all sorts of ways: baked, boiled, stewed, even raw. Recipe books indicate that Americans began fashioning sweet potatoes into fancy custard puddings starting in about the late 1700’s. It would be another fifty years or so before bakers hit on the idea of enclosing those puddings in crusts. One of the earliest recipes shows up in Lettice Bryan’s Kentucky Housewife printed in 1839.
Others followed, but sweet potato pie has been little improved upon for some 175 years.