I'm from Europe

I was at my dentist yesterday. While in the waiting room, I casually chatted with the receptionist about Thanksgiving.

Re: Any plans for Thanksgiving?

Me: Well, we are celebrating with some friend of ours. All of us live far from our families so it's a good thing we can take care of each other.

Re: That sounds great! You are from Canada, right?

Me: No, I'm from Europe.

What's up with that?!? I'm not even going to discuss the fact that my accent apparently sounds Canadian. My main concern is how I said "I'm from Europe" or actually, my concern is what I didn't say. "I'm from Sweden" is what I should've said. Or at least "I'm from Scandinavia".

I spent the rest of the teeth cleaning contemplating my choice of words. I never say "I'm from Europe" and if I have in the past it's only been as a last resort, when people don't seem to know where Sweden is. I know how the European Union want to strengthen our European identity, but as far as I know, French people are still fiercely proud to be French and Scottish people don't even like to call themselves British, let alone European.

Then I thought a daunting thought. The only people I know who frequently treat Europe as if it was one country are Americans. OMG! Have two years in the US really made me lose my sense of national identity? Have I lost the understanding of cultural differences? Or have I just lost my mind. Either way, I can't shake the feeling the I have lost something...