So Are you Proud of Where you were born/grew up? Do you feel if you move to a different country it's better to pretend to be from somewhere better or more acceptable other than where you were born cause you feel people will treat you Different? Why would you feel the need to

Where nationality means one’s country of origin, ethnicity refers to racial ancestry.

To make it clearer, a person born in Romania and living in the UK, will only have an Romanian nationality, and not an British nationality. If a person from an Italian family was born in Greece, then that person would have an Italian ethnicity, and not a Greek ethnicity.
Nationality is a word that pertains to the state of origin. Nationality can be defined as the relationship between a person and his or her state of origin. Nationality also means that a person has the protection of the state where he or she was born.
Ethnicity can be defined as a group of people who regard themselves to be different from others. The ethnic groups are united by common traditional, cultural, linguistic, ritualistic, behavioral and religious traits. On the other hand, nationality does not pertain to these characteristics, as one can come across people that have different cultural, traditional, ritualistic and religious traits living in the same country.
Nationality also causes patriotism. On the other hand, ethnicity does not create a thought of patriotism, but only creates thoughts of racism. Ethnicity is related only to a particular race, and nothing else. Nowadays, ethnicity is not widely used, as it did have a very adverse impact on the world.
While nationality can be termed as a legal concept, ethnicity can be termed as a cultural concept.