I grew up mostly in the North East (USA) where so many people were 1st or 2nd generation European immigrants. A common question, definitely not considered rude, was "what are you?" To which people would quickly list of their pedigree "Scots Irish Pennsylvania Dutch German etc..." Everyone had and knew their heritage, and their families all had some remnant of their cultural traditions they practiced in one way or another, especially around holidays.
There is a culture shock about this when one moves to the South of the (USA) where most persons you will come in contact with (at least those of European descent) are some 12th generation and if you ask then "What are you?" You are likely to get a rather insulted look and a response such as "White, can't you tell?"
No judgement, just an interesting observation from my now much older eyes.