Normally I wouldn't jump back in here, but I don't really understand businessconquerer's idea about the nationality you "choose to define as or under." You have an actual citizenship status somewhere, presumably, or perhaps a dual citizenship status, and so you put those on the application where it asks about Citizenship. If you have citizenship officially in 2 countries, you can rank which one you want to put down as the primary citizenship and have the other as the "dual" category (unless the app tells you expressly what to put first - MIT for example says, if one is US, put US first), but these answers are still going to be based on your actual status, not where you identify because you spent time there. So - do you have your citizenship in the country where you grew up in Africa, in Canada, or in India?
There is usually also a question on birth city and country, and there you will put the place in India where you were born.
They will see your schooling and where that was, in other parts of the application. And your resume and short answers will show where those took place.
I didn't address your question on "ethnicity" -- that is not something asked on these apps, really.
Hope this helps,
Julie-Anne Heafey
Senior Consultant
mbaMission