But why is this? The U.S. economy has performed better on average under the administration of Democrat presidents.

Because the President has very little direct control over the economy. That's a nice point to raise in a political argument, but the reality is that national economic performance is affected by countless macroeconomic forces, both global and national, and the federal government's policies is only portion of those forces. The portion that can be controlled by the President within their term (as opposed to longer term tax, monetary, and trade policies that are mostly set by Congress or the Fed over longer time periods) is even tinier still. The President's powers are strongest in foreign policy - their power over the domestic economy is pretty constrained.

And again, we're talking about House members' relationship to their party - so it's not just about control over the Presidency, but also who controls Congress. They very much think that America is better off when the Republicans are in charge, because Republican policies look far more like their own preferences than Democratic policies - even when the GOP leadership has somewhat different preferences or priorities than they might implement.