Whenever this is asked of me, the speaker is never interested to know what region or regions I have lived in. In reality, it is an underhanded way of saying, "Excuse me, but
you are obviously not Caucasian, yet I cannot place your exact ethnicity because
you all look alike. May you please my curiousity and tell me what country you are from so I can call you
Chinese or Japanese or Dirty Knees?"
Of course, my first instinct is to answer the question as any "normal" person would. I give my home state or home town. At this point the speaker makes some sort of statement that I misunderstood the question. Somehow I managed to think their question actually meant what it asked. Somehow I'm supposed to understand that their question is really asking something quite rude, then to ignore the fact that it's rude, and finally, to actually answer it.
There's just one more layer of complication. I was born in the United States. Asking where I was born is not going to get you where you want to go, because I will answer you truthfully. At this point, the speaker will become agitated at my ethnic and nationalistic situation, which is becoming rather common these days.
Then comes the breaking point, when the incessant need to know overrides any semblance of tact. "What I mean is, what is your country of origin; what is your ethnic background?" I've given them a hard enough time. I give them an answer. Maybe they learn something from this. They probably won't.