I understand that pricing for airlines is some sort of modern art, but it still makes little sense to me since both options require the same 2 flights.
The second part of this sentence shows that the first part is false. Welcome to the world of yield management.
Airfares do not have much to do with what it costs the airline to provide the transportation. They have everything to do with what the airline thinks the particular traveler is willing to pay for it. The only relation that has to what it costs to operate the flight is that the flight will not be offered at all unless the airline thinks the sum of what it can extract from all the various passengers will be enough to allow them to turn a profit.
Since it wouldn't be cost-effective (and potentially illegal in today's climate) to launch a detailed investigation into the personal circumstances of each individual traveler, airlines instead use other factors which are more easily available to them as proxies of how much they think a customer would be willing to pay. One of these factors is certainly whether the customer is an American looking to go to Europe or a European looking to go to America.