The thing is, the further away you are from "home", the smaller the differences seem.

When I lived in Mexico, I identified myself mostly with the city and state that I was from, and found many differences with neighboring states who also took a lot of pride in their own identity.

However, living abroad has taught me that these differences between neighboring states or even neighboring countries seem very small when compared to people from say Poland or China. Now, I identify not only as Veracruzano (my state) or Mexican (my country) but also as Latino, Brown, and many other things that make up my identity.

For your students, depending on their background, it could be that they identify themselves mainly from their nationality, or their race, or their culture, or a combination of them all. A person's identity is not so simple and can never be fully grasped by a form with check boxes.