This is an American-only post, as I understand that "nationality" has different connotations in different countries. For the general version, which I fully agree with, see karaadora's post, "Where are you from?" "London" "No, where are you FROM?": why this annoys me and other stories. (Also, Supernatural fans, there is a link to a picture of her with Jensen Ackles.)
It is also part of a set with the previous post.
Dear fellow Americans:
Please stop asking me my nationality, or referring to other people of my nationality. Here in the United States, "nationality" refers to your country of citizenship. (See, news discussions about "foreign nationals.")
When you ask me my nationality, or tell me (in a very well-meaning way) that "other people of my nationality" have been having trouble finding glasses that fit because of the way our faces are shaped, you are assuming that I am foreign. That I am not, in fact, American. And since this is a long-standing stereotype about people of Asian descent, that we are foreigners, you are perpetuating a stereotype. You probably don't know that you're doing it, but it pisses me off. And now you know. So don't do it.
What you really want to know is where my ancestors came from far enough back that everyone around them had yellow skin. I'll accept, "what's your ancestry" or "ethnicity", though I have to say, why do you want to know? I don't go up to random people of European descent and ask them what country their ancestors came from.
Oh, and the same goes for showing off your knowledge of some Asian language by greeting me in it. Do I greet you, a perfect stranger, by saying "Ciao"? No. I know you think you're being polite and respectful. But you're not. And now you know. So don't do it.
(Chad does this nicely when asked, with perfect reason, if we're going to Japan because I have family there: "Kate was born in Korea, but she's from Boston." Which I will try to adapt, except that I would substitute "Massachusetts.")
(I say "try" because, for all that I am ranting here, it's really hard to come out and say this when someone does it in person. I'm working on it, though.)
(Also, on ranting: I'm doing this here, and somewhat in the last one too, because this isn't directed at anyone specifically, and because it does make me angry, and anger has its place—as does being polite. oyceter has a good post on this.)