I will reply in three directions.

The first 'default' I personally felt was actually something else, as I gained self-consciousness when in Yugoslavia. (One of my first surviving memories of thoughts is actually looking out of the window and thinking that 'this is my homeland'.) Later on, I did develop a feeling of Hungarianness, albeit not as default but school education and partly family, and the rejection (not of Hungarianness but the whole frame of reference) started to kick in very early (first grade, effects of thinking about some books I read).  I never could 'do' collective pride and shame even to the extent you describe, though I discovered that I have more of it than realised, as Euro-booster (back when I battled freepers).

I mention that what I diary or comment on ET is not a random selection of thoughts. I do aspire to bring unique material, or to cover things not covered, be it trains or obscure history or local politics. Given the current readership of ET, within the scope of my cultural influences, that also makes me the reporter for Hungary. And thus writing stuff is usually also an educational experience for me, and funnily enough, I never learnt as much about all things 'Hungarian' than when searching for stories or researching for ones I found in the last year and half...

On a second level, my case of having lived within multiple 'nations' and thinking about categorisations as small kid rather than torture hamsters may be not common, but I view the more general 'objective' identities (say Polish-speaking intelligentsia) vs. sense of identity issue you described differently. I do think that there are multiple collective identities in most people's minds, to the extent of feeling pride and shame and having in-group/alien distinctions and codewords and solidarities, even if they are 'aware' of only a singular national identity. So I see casting things in the national framework as a deeper denial (or more generously, oversimplification) than just of differing individual senses of a nation by the same name.

_{*Lunatic*, n.
One whose delusions are out of fashion.}