I put British (being of Scottish and English blood), but actually I am very fickle and "home is where I lay my hat", I've spent the last 9 years in Wales and felt at home there.
Now I'm here,and as the Immigration Officer said "Welcome to Canada, you are now British Canadians"
I never really had a "national" identity until I moved abroad (to the UK in my case) ... always saw myself as person from my city (so regional identity) or, if anything, European ...
We have this conversation at work a lot because I design council surveys and we often get complaints from people who do not want to state their ethnicity but would prefer to state their national identity.
I put English but really I would say for me, MY national identity is South West English. I feel a really strong affinity for this area (even though I wasn't born here). Also I alway feel that there is a massive difference between the South West and, say, London and personally I feel much closer affinity with the South West.