Character mistake: Hank seems surprised to learn a lot of the Alamo's defenders weren't from Texas. Given that kids study this in American history, especially Davy Crockett's role in the historic event, it seems unlikely he'd be ignorant about this.
Character mistake: Hank says that his parents haven't spoken in four years. However, Cotton and Tilly were both at the Hill home in the episode "Nine Pretty Darn Angry Men" (Season 3). Cotton bullied Tilly on that occasion. And four years has not passed in between those episodes, or else Bobby would be a high school student.
Answer: In addition to Brian Katcher's response: it's supposed to be a joke that Dale is always suspicious about conspiracy theories, mysteries, etc, but he is "clueless" about his own wife having an affair. Of course, as Brian wrote, many fans think that Dale is pretending to be clueless because he doesn't want Nancy to leave him.