They have to understand that a community that strives for closeness and closed-ness, a tight-knit society that builds a wall to the secular world (of varying heights, depending on each community), will present obstacles to joining. We will ask personal questions about your upbringing; we will play Jewish geography; we will treat you like family.
You may find this invasive, especially when some people are overly nosy. You may feel uncomfortable because you don’t have what you think are the “right” answers. You may not want to reveal your life’s story to strangers or at every Shabbos meal you attend. Just remember that this is not a unique experience for converts. Ba’alei teshuvah and people with unusual backgrounds — foreign accents, small town upbringing — face the same challenge.
You have to learn two skills. The first is blending in. Even those whose racial characteristics preclude fitting entirely into the American Orthodox community can blend in with their behavior. If you dress, speak and act like a member of the community, you will find you are treated much more like a member. You also have to learn how to deflect questions you don’t want to answer. In a perfect world, no one will ask you rude questions. Until then, have answers ready like “Someday I’ll give you the whole story” or “It’s a long and private story.” You can prepare joke answers or change the subject.