I was with my DP yesterday and we were asked this question. For context, we have different nationalities (British and German), and we live in another country (from those two nationalities). We were asked this question by a Doctor. All of a sudden, my DP stuttered and ummed and paused and couldn't respond. I immediately said I was British. The question was asked as an icebreaker.
My DP and I discussed this later about why he struggled to answer. For me, it's easy, I'm British, and my parents are British and I was born and grew up in one city where I lived until I went to university.
In contrast, my DP was also born in one city and lived in that one city in Germany until he went to University, but he is mixed race (German / East Asian), with his father being German. When I asked DP, he found it hard to answer that question, without somehow "betraying his mother", which I thought was overthinking it. It also brought up issues of race (he doesn't look purely typically German).
However, it did get me thinking. For you, if someone asks you where you're from, is it an easy question to answer? Do you have to unpeel these layers of identity to give a simple answer? It got us thinking about how such a benign question could be interpreted.