Hey there,
When I first came to the US on a J-1 visa, I also had difficulty in proving that I wanted to return to the UK. In the end I believe that they accepted my bank statements as proof that I was going to return as I had been a member of my bank in the UK for 13yrs or so.
I suppose if you owned property or were married that would also show that you had intentions to return. Otherwise is a bit weird I know, but usually they are not too bad.
Sorry can not be much more help,
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