There is a major difference between an ethnicity/cultural identity and citizenship. Fewer and fewer people idenitfy themselves as soley American. Rather they say my parents were British, my gparents hailed from France and Italy or I am a German-American. We are the land of the hyphenated. Paul did not grow up with Caesar as God. His norms were Jewish. If he were Roman, his zeal for persecuting the early church would have have been much less.
I've read commentaries of all sort on Paul for decades. He is referred to as a Jewish convert, never Roman. HIs citizneship is only raised concerning the method his execution. I'd much rather be beheaded than crucified.