I think TCOM when we are in India we are like Maharashtrians, Keralites, Goans, Punjabis and so on. But when we are outside India, we are simply Indians. I don't know about others but in may case the conversation usually starts like that:

Someone: Are you Indian?
Me: Yes.

If I meet somebody from US I don't tell him that I am from Maharashtra, I tell him that I am from India only.

and then immidiately the other person asks "from which part?" and then you have say from where you belong to. I don't think any wrong in it.
I have seen people hoisting their southern or northern flags of a tiny island. Then again I know people who are very proud of being a Texan..what's so wrong about it?

Everything's gonna be alright!!!