we never are led to wonder why a boy from the Vineyard roots for the Yankees.

Actually, I often wondered why Mulder, being from Massachusetts, had a preference for New York sports teams (well, I knew it was because David Duchovny wanted him to, but that still didn't explain why in the context of the show). Nonetheless, I have come up with an explanation: Mulder being Mulder, he just had to be different and root for New York sports teams.