The fact that people feel comfortable enough to ask you something like that means that they don’t think that it really matters where you are from…
Which ultimately is the whole goal of this equality thing anyways.
In fact to many people it could be seen as a compliment. At least they care enough to be curious about you. By rejecting that attempt at understanding you are encouraging people to not try next time.
You can’t ask people to treat you the same while simultaneously treating you differently.
I am a white guy living in Shanghai. I get asked all the time where I am from. It isn’t offensive to me that people think I am Swedish, Italian, or Russian. Every time I answer I feel I am helping people understand a bit more of the diversity that exists outside China.