As far as I know, there was no nation of Greece before the 1820 war of independence against Ottomans. That Greece was first a collection of citystates, and then under the rule of Macedonian, Roman, Byzantine or Ottoman occupation. Yet, it seems odd to me. That there was a distinct people without a nation for thousands of years. Am I wrong?
Pre-Alexander and at some points post-Alexander Greeks were largely independent city-states and factions, yes. They were a distinct culture without a central government, which was not at all uncommon in the Ancient and Classical worlds, although Greeks were more urbanized and sedentary than, say, Celts or Scythians.
Alexander and his Greek successors changed that, however - first of all, even if Alexander's origins were outside of Greece proper, they were considered by themselves and Greeks to have become Greek ("Hellenized") and spread Greek civilization throughout the world. Despite being Macedonian, Alexander gave Greeks an identity as a hegemonic E Empire rather than as subjects of one.
The Romans were a slightly different story, but the thing about Rome is that they usually left local cultures and even power structures intact. In the case of the Greeks particularly, Rome was extremely enthusiastic about Greek culture and education and so largely left them intact as a civilization.
This took on another meaning after Constantine split the Empire - what we now call the Byzantine Empire was still Rome in the eyes of the people, but for over a thousand years the language of the Eastern Roman Empire was Greek, their capital was Greek, their people were mainly Greek, etc. This is why if this thread was on any other sub it would probably start an argument on whether the "Byzantines" were Roman or Greek. The correct answer is both, really. Politically, a Roman Empire that survived until 1453, but culturally, a continuation of both that and Hellenic Greeks.
The Ottomans then moved in and ruled the Greeks for about 400 years depending on how you count, and while at this point they were considered foreign conquerors they had a similar policy to the Romans of lesving conquered cultures intact, leaving a Greek (not to mention Serbian, Bulgarian, Romanian, Bosnian, Albanian, Egyptian...) identity to survive until the rise of Nationalism in the 19th century, when Greeks finally associated their cultural identity with a political unitary state and invented the nation-state of Greece. Not Rome, not Eastern Rome, not Hellenistic city-states, but Greece, in accordance with the general idea of 19th century nationalism that every culture should have its own state.