Today, we identify a person's "nationality" as French, English, Czech, etc ("I'm French" / "I'm from France" being the grammatical form of its use).
But in a future World Government, "nationality" is not really the right word for that because those aren't "nations" anymore. And maybe the big "cultural union" ones like "French" or "Indonesian" or "British" or "Italian" might go away entirely.
But I imagine people might still want to identify with a specific geographical and/or cultural and/or linguistic heritage in such a way that people might want to say, "I'm Beaujolais/Javanese/Breton/etc" or insist that "Tuscan" wines are better than "Burgundian" wines.
Now, some of those can just be called "ethnicities" (such as "Jewish"). But "ethnicity" tends to refer more to race and religion while many like "Tuscan" will be primarily geographical, cultural, linguistic, etc.
I'm considering "regionality."