+5 Yes, Puerto Rico is widely considered a colony—or often described as the world’s oldest colony—due to its status as an unincorporated U.S. territory. While residents are U.S. citizens, they lack voting representation in Congress, cannot vote for president,

“We all live in America” is them satirizing how fucked up America is, in a “Yeah, sure, we’re ALL Americans, F*ck you” sort of way.
I feel like you’re angry for the sake of being angry, but you do what you’ve gotta do, bub.
I know they’re satirizing it. But that was the point, they’re still singing part about the song in English so that English speakers still understand part of it. That makes the art more powerful in my opinion.