Is Judaism a nationality or a lineage? It is neither, really. Judaism is unique in that it breaks through all of the sociological definitions of groups. It is not a religion because one can be Jewish and yet not observant and not a believer in Jewish ideals, and still can be counted for a minyan. It is not a nationality because one has to be (or have parents who are) from a particular place, and Judaism has converts. It is not a “race” because Jews can have different colors, body types, hair textures, and any of the other qualifiers for this designation.
According to the Iyun Yaakov, everybody in Persia wanted to know Esther’s nationality because she looked like she could come from any nation, as the Talmud (Megillah 13a) asserts. Only the king was interested in her lineage to see if she was fitting for a king to marry. He would have less problem marrying her if she were not a commoner, but of royal blood.
The Rambam notes in his commentary on Megillas Esther that it is interesting that, although Achashverosh offered tax exemptions and other rewards for anyone who would share information regarding Esther’s background, the Jews unanimously refused to give her up, despite their dire poverty. Regarding this, the Rambam comments, paraphrasing a blessing in Mincha for Shabbos, “Mi ka’amcha, Yisroel!” (“Which nation is like you, Israel!”)