It is about where they're from... Osama didn't exactly hang out all that much in Saudi Arabia in later life
If he was totally made-up from scratch, then they could have easily just written his backstory as being a rabbi who was from Bethlehem. But if he was a real flesh and blood person who was known to be from Nazareth or somewhere else, then you have to make up the magical birth story with the parents who just happened to be traveling away from home or else people are going to point out that Jesus couldn't be the messiah because the prophecies didn't fit.
Another reason we know this story is invented: there was never a rule in the Roman Empire requiring people to return to the city of their ancestor's to answer a census. That doesn't even make sense.
There was never a Roman province of Israel. There was a Roman province of Judea, which in the 2nd century was incorporated into the province of Syria Palaestina.