When you're living in a foreign country, it's a common question in various settings. Mostly I say I'm from New York. This isn't exactly false; in most of my life here in Italy the from-ness pertaining to me that matters most is that I am a friar of the Capuchin province of New York (and New England.)
Most of the time it's too hard to say that you're from Connecticut. It's a hard word on the Italian ear, and you just end up saying that you're from north of New York anyway. I've found that with academic types I might be able to say that I'm from New Haven, but mostly I don't bother.
A not insignificant number of times when I've told a priest or religious that I'm from Connecticut they hear instead 'Kentucky' and start talking about Thomas Merton. Since Kentucky also has a New Haven, I suppose I could contrive an even more confusing conversation if I were in the mood. To cause even more trouble, I could try to explain how my first experience of religious life was the summer I spent as a volunteer at the Benedictine sisters of Floyd County, Kentucky, which is nowhere near the Abbey of Gethsemani.