Its just a category of convenience for many.
For some its a decoration for the fun of it, an expression
of artistic individuality, but this does not include religion.
The term "German" for example was a re-invention during the
late 1800's of an old Roman concept to legitimize Prussian
domination of central europe. The legacy of this opportunism
is still with us in language theory, where Scandinavian languages
are still classified according to such hegemony as being "Germanic".
That was Hitler's tactic: To "unify" the "German" people, one way
or another. But the border between Denmark and Europe (alternatively
Prussia / Saxony / Germany) is one of the oldest ethical divides
I know of going back thousands of years. And that has a lot to do
with the ethical difference between state hierarchy and respect of
individuals.
But even up to the Franco-Prussian war of 1870/1, Germany was little
more than a vague reference to a tribe from Roman times. Ethnicity is
a subtle sleight of hand used by demagogues to justify wars of
aggression.
The original Zulu tribe of the 1700's was another example as a tiny
group that used its own form of ethnicity to take control of an
entire region under this false flag opportunism. They wiped out
many smaller tribes in the process too.
As much as it can seem harmless to classify yourself with these
words, it can also be used to terrifying effect if allowed to seem
as if it has a real ontological value.
Languages are very malleable for the most part, especially prior
to the 1800's where the words in formal language become more solidified
with prescriptive grammar and spelling. These ethnic groups then become
distinct language groups for some, but for others are still very vague.
We can see this as spelling for some cities changes even today:
Consider Peking/Beijing or Bombay/Mumbai.
The term 'ethnic cleansing' is another example of how it is used to
justify the murder of unwanted people. Its a VERY slippery ethical slope.
But on the other hand, if you make religion a subset of ethnicity,
then you devalue religion into a costume party decoration at best.
My personal connection with the Divine is sacred beyond any
other arbitrary feature of my creative being.
This is because Christianity is essentially a system of ethics
which is completely in contrast to communism, for example,
which is based on state theft and mob-mentality.
These two ethical systems cannot ever be reconciled
as simply differences in style or decoration.
Part of the process is the fallacy of moral relativity;
which means we are "all equal" regardless of which "ethnicity"
we have; whereas we know that "some are more equal than others"
is the next step in the game of state-theft or mob-rule.