Why was Abraham not settled in Canaan to which God had called him? Was it because he still regarded Ur as his true fatherland? No. That should be obvious, says the writer of Hebrews, because if he had thought like that he could easily have gone back to where he came from.
What is God ashamed of? He is so mighty and powerful that we might imagine that he is ashamed of our weakness, our inability to do anything wonderful or significant, but no that is not it. Is he ashamed of our ignorance when he has such unsearchable knowledge? No, he is happy to take us in all our ignorance and adopt us as his children. He is not even ashamed of our origin as sinful and fallen human beings as long as we put to death our sin and strive to please him. But if we start to make this world our home all over again, and return to the old life once more, then he will be ashamed of us, for we show that we are ashamed of him.