The blog describes what I believe is an increasingly common situation where you can't answer that question. The following words were inspired by that blog.
"So where are you from?" is definitely the most dreaded question as far as I'm concerned too. And, the worst thing is that recently they added one more twist, and that too right after I decided to start claiming to be "from Bombay".
Q: Where are you from?
A: Ummm... I was born in Kuwait...
Q: Oh so you are not an Indian?
A: No no. I'm an Indian only. Was born in Kuwait, and lived there for 12 years...
Q: Oh, that long?
A: Yes. And then I studied in Bombay for a few months before going to Surat
Q: Oh so you are Gujarati?
A: No no. My dad just works there.
Q: Why Surat?
A: My dad got a job there immediately after the gulf war started. So, I studied there for 4 years before I came to Bombay for my Engineering. After 4 years of doing my engineering, though, I got a job and was posted in Chennai.
Q: Oh, you work in South India?
A: Yes. And I've been there for the last 5 years.
Q: So where are you from again?
A: I guess I'm essentially from Bombay, but I've only lived there for four years of my life.
Which never left them satisfied, though it was completely accurate.
Q: So, where are you from?
Q: Oh, you're a Maharashtrian?
A: No, no. I'm a Sindhi.
A: Sindh is a state that is now in Pakistan.
Q: Oh, you're a Pakistani?
At this point, I generally burst into tears.