I’m not sure I think so hard about someone asking me that question. I’m an American, immigrated from India.
If someone wants to know where I’m really from, as opposed to Pennsylvania or New Jersey, I tell them. If they have a deeper motive than just curiosity, it’s lost on me. I figure its better the other person is curious and informed than be politically correct and ignorant :-)
I grew up in India where there are as many linguistic and enthinc groups as in, say Europe. I was asked that question all the time by other Indians because my last name is very uncommon and they couldn’t figure out from that which part of the country I came from.