What do you say, if you don't mind me asking?
My particular case - citizen all my life. My family - spouse and kids - not yet citizens but will be soon, mostly when travelling they just say from Toronto, or Canada. I expect they'll all say Canada, unless they have a reason to discuss where they were born (e.g. meeting others from 'back home.')
Which brings up a small side note/discussion I had with someone recently: 'back home' is possibly a good distinction in English between the place that is current home and where you came from, without being negative about that place, and vague about extent of links (although implied not many eg maybe parents and relatives are there). YMMV. My family was 'originally' from [such and such] is a similar feel.
But again: not at all required to get into this with people you don't know. Share as much or as little as you like.
From my own perspective, and I know not everyone shares it - I lived abroad a long time; everywhere I lived and most places I travelled, people asked (in various ways) where my family was originally from or 'background' or however it might be called (they fled from lots of different places, and if it matters, 'white').
Canada's famous as a place of immigrants. I don't think that question necessarily means some are not 'real' Canadians. I recognize of course that some do have bigoted views on the matter, of course. But sometimes people are just interested. We're social beings, people ask questions.