Jesus may be Roman! In bible, it says his disciple Paul appealed to Caesar when accused by the Jews and was sent to Rome. Therefore Paul is Roman citizen so by extension Jesus could be. Hail Caesar!
The thing is, in lands that were conquered by Rome, CITIZENSHIP was DENIED to the people it conquered. Citizenship was EXCLUSIVE to the Romans & was never granted, NOT even to its neighbors the Italians whom send its warriors to assist Rome in its conquests.
Conquered countries were free to keep their religion & cultural heritage. Rome was only interested in TAXES that conquered People have to pay, & concessions for Roman citizens to own & build biz in those lands.
It is like how England ruled. Can Malaysians called themselves British, just because they were colonized by England in the past? Did Malaysians whom lived in those colonial times identified themselves as British, or follow England's religion & culture?