There isn't a scientific answer to this, if that's what you are asking. Claiming you are part of a different "nation" or ethnicity is always a political, "artificial" act. Someone say, "I am Argentinian, not Spanish," is an argument that, especially in the 19th century, is an argument about allegiance, power, and rule.

A simple example. When the "Founding Fathers" in the United States initially petitioned England, they did so for their rights as Englishmen. Not as Americans. They were saying, we are Englishmen, as much as you are in England, and we demand the rights that are accustomed to Englishmen.

It was only when they said, we're splitting off and doing our own thing, that they argued, in part, that they had a different political/cultural/legal identity from the English. To be Americans implied they were something separate, and could sustain an argument about independence. And to those who were opposed to independence, they saw themselves as Englishmen who were being robbed of their lifeline back to the "home base."

This example is slightly ahistorical, because the notion of "ethnicity" you are referring to is a later one than was around the in 18th century. The idea of the "nation-state" is more 19th century in origin, though it has its earlier precedents. On the notion of Englishmen in the American independence movement, see Edmund Morgan's The Birth of the Republic, 1763-89 (1956). On the loyalists who found themselves in a tricky place at the end of the war, see Maya Jasanoff's Liberty's Exiles: American Loyalists in the Revolutionary World (2011). On the emergence of ethnicities/nations as political arguments, the classic book is Benedict Anderson's Imagined Communities: Reflections on the Origin and Spread of Nationalism (1983).

This is not to suggest that all such distinctions are illegitimate, in any way, but they are constructed or deployed to specific ends. So I am an American citizen, legally. But there are political reasons that others may want to classify me as a New Jerseyian, or as a New Yorker, or as a Californian, or as a Jew, or as White, or as a White Male, or as part of the bourgeoisie, or as an educator, or whatever, depending on the context, the argument being made, the politics being deployed. All people have multiple, overlapping, "intersectional" identities with cultural, ethnic, linguistic, racial, religious, and/or political components, and the emphasis of one or the other always has some kind of stakes attached to it.