As to his romaticizing Maryland, I regard that as the sort of foible almost anyone could have concerning his native state: I don't share his delusions, but I don't have to live their either.
Actually, it is unfair to say Mencken worshiped Nietzsche. He was one of the first Americans to really read Nietzsche in German, and he wrote a rather perceptive book on Nietzsche which was published in 1902, if I recall correctly. All of his later comments about Nietzsche need to be taken in the context that he had actually read and thought about Nietzsche's work. Nietzsche is reviled as a proto-Nazi, which is a false charge, and as a nihilist, which is also false. I find Nietzsche fascinating, both in his magnificent German prose style (one of the finest writers of German prose in the 19th century) and his half-mad philsophical musings. Read Walter Kaufmann's biography of Nietzsche, which is a good introduction to his life and thought.