My husband looked this up recently. East of the Mississippi they are more commonly called donkeys and west of it they are called burros.
This is likely because west of the Mississippi, many of the donkeys are descended from burros. Mexico has about 3 million, and the semi-wild but friendly burros are a major tourist attraction in the town of Oatman, Arizona.
Here is a website loaded with trivia, mostly entertaining, but gives a better description of things.
http://tbnranch.com/2012/01/13/donkey-ass-burro-mule-hinny-what-they-all-mean/