I don't think a country is a sensible thing to be proud of. I do think it's perfectly sensible to be proud of being part of a subculture - though perhaps proud is the wrong word.
Never ask a man if he's from Yorkshire. If he isn't, you'll embarrass him. If he is, he'll have already told you.
I happen to be a stereotypical Yorkshireman, so a sense of national and personal pride happen to be the same thing for me...but it is about subculture. Just because you're born in Yorkshire doesn't mean I consider you a Yorkshireman, and on the other side, there are plenty of people born outside of Yorkshire I happily consider honorary Yorkshiremen.
In fact, over recent years, I've been calling myself a Yorkshireman less and less, and calling myself a Dane instead, because the subculture that's important to me are the traditions passed down from our Danish Viking ancestors. The heathen traditions, the Old Norse dialect, the Havamal based outlook on life. Which shows the fluidity. I might say I'm proud to be from Yorkshire, but that's not what I really mean - the thing I'm proud of is much more specific.