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My grandparents came from bits of the world which have variously been Austro-Hungarian, Czech, German and probably some other bits. They probably felt Bohemian more than anything else but wouldn't have declared themselves a member of a Bohemian nation.
Someone mentioned colonialism - some might say Napoleon was wrong to stomp around Europe colonising various places but my gran saw him as a hero for overthrowing aristocratic dynasties.
I think the people of Alsace Lorraine wouldn't identify themselves as coming from 'Alsace Lorraine', which isn't really a thing in France. (Correct me if I'm wrong French people - I did used to live in Lorraine)