Nearly universally, the inhabitants of the early modern Holy Roman Empire identified themselves by the village or amter of the their residence, or maybe by the principality in which they lived (Wurttembrug, Brandenburg, the various Saxe-whatever dukedoms, etc). For most of the nobility, their class identity and religious identity was stronger than their regional or national identity -- so Protestant nobles in Bohemia see their social class an religion as more important than if they speak German or Czech at home. And for most peasants and burghers (townsmen), they don't have much in the way of national identity, but their major form of identity after their religion is to their local village or city.

I think Benedict Anderson briefly discusses this in his famous book Imagined Communities, about the origins of national identity.

So there really wasn't an overarching "national" identity in the Holy Roman Empire. Rather, the empire was seen as an overarching political and legal structure that allowed smaller political units, to peaceably resolve their disputes. These smaller political units included the free imperial cities, the dutchies, the principalities, the prince-bishoprics and prince-abbots, of course the innumerable little Reichsritterschaften, each no larger than one or two villages, and each posessing Reichsunmittelbarkeit (imperial immediacy), at least in theory.