The pride isn't about being proud of coming from a country that has Christmas dinner, or thinking that it's better to eat a Christmas dinner than do whatever the equivalent local tradition is. It's about joining in with local events, but being happy to express and share your own customs, too, where they don't clash.
So you might keep an advent calendar, or import huge quantities of decent tea, or make mince pies at Christmas time, or sing the nursery rhymes you grew up with to your children, or continue being slightly self-deprecating, or carry on using swear words which the locals find faintly ridiculous, or keep a really good bottle of scotch for special occasions, or listen to Radio 4, or bake a sponge birthday cake with candles for your children's birthdays, or follow the football or cricket, or make your children write thank you cards for their presents where that isn't the local custom.
And the pride doesn't come in thinking that those things are better that the local customs, but in thinking that they are just as good, and make you happy, so that you will carry on doing them even though they are no longer normal.
And your children will grow up associating some of those things with home, and love and family, and will do some of them with their own children.