Well, I'm Dutch, so I'm guessing here, but I think it depends on which side of the border you are what you call it.
The United Kingdom contains: England, Scotland, Wales and Nothern Ireland.
So, a Scotchman will never say he's from England, I guess...
It's often (mostly) a language thing if you're not a native. Like here in Europe we could say: "I'm going to America" when we really mean we''ll visit the U.S.A. and not Mexico or Canada.
And if you're a local in some countries, sometimes it's also a political thing (but let's not go there here on APUG ...).