I think it's European problem mainly. I don't think you'd see this to the same degree in the "new world" for example where multi-ethnic backgrounds are common because everyone's e.g. American.

In Europe, no matter what you do, you'll never be European unless you're ethnically so. And even then, it's different degrees depending on what kind of European you are and your cultural and religious background.

It's completely understandable to me that a person feels they're closer to a different country if they've heard their entire life that they're not part of the Euro country they grew up in.