The only think we are ask for is weither or not we are French (meaning citizen). For the rest, ethnic group is something strange. For my part, I'm not even sure I know.
What, I can say is that my grandmother on my father's side looks like a mix between a Spanish and an Arabic with denied rumors of Jewish descent. Other historical backgrounds are: French, Flemish, Wallon, Provençal, Italian (Sardigna, Genoa), English (including some scots and welsh)... Enjoy
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Anyway, since a friend of mine had a surprise with his first born, I'm convinced this is the most unmeaningful possible question (unless you live in a rainforest or a desert). The man is French (blond and blue eyes) and his wife is Swedish (blond and blue eyes) and their first born was black (curly hairs and dark eyes). No she didn't cheated on him but five generations before, on her side, someone married a black woman. The kid was born twenty years ago, what do you think he shoud answer today if going to US?
Obviously caucasian but it might not be that obvious to US immigration.