I have no problem having multiple, concentric cultural identities, so I think of myself a denizen of my little township, a resident of Bologna, an Italian, and an European, all at the same time and without any contradiction.
Speaking of contradiction, it really depends on the person who is asking what I'm.
For an American, I'm definitely French, the most annoying one. For other foreign people, European is enough, I don't mind.
In front of a very annoying Parisian, I'm vaguely from the north west of France but for a less annoying Parisian, I'm from Sèvres (my birth town near Paris). For a non-Parisian, I say that I'm from the Parisian suburb.