I talked with one of my middle eastern friends the other day and he said he was told to mark down Caucasian. Even though he is from a middle eastern country (and middle east is in Asia), he is marking down Caucasian. In the past I have marked down Asian until I realized it's not asking from what country you are from and I started marking down Caucasian.
The question is not of nationality, but race.
The question is not of nationality, but race.