I generally say "I'm from Chicago, but I live in New York." This locution occasionally obfuscates the situation and confuses people. I say it this way because I am somewhat loath to identify myself as a "New Yorker" (see also here, here, or (on a more serious note) here). I remain a Cubs fan in principle, though I confess I no longer know most of the members of the team. I can't say that anything else in professional team sports still excites me. If a European's true national allegiance is determined by the football team he supports, I think the same could be said about Americans and their baseball teams.
Perhaps of more consequence are questions of identity related to being a "son of immigrants". In particular, being South Asian in the US. (And what does this term "South Asian" mean anyway?) Watch this space for more opinions.