Sorry Sparky,
It is one of those cultural things that mean a lot to those of the culture, but are almost impossible to explain.
Simply;
British Isles is all of it, United Kingdom is most of it, Great Britain is a little bit less and England is one bit of it.
We have written history going back 2000 years and buildings and structures still standing that were built back then. We are several races and nations grouped together, not always in harmony, and we are proud of our individual heritages.
We are not alone in Europe to be like this.
Ask the people from Brittany what nationality they are, ask the Basques (no, not the lingerie!), ask the Flemish or the Friesians.
I could ask you the same question. I don't know where you come from, but I guess America; are you a Yank?
Do your people call themselves American, or do they say that they come from the United States? Or, do they say which state they come from? To us it is as confusing as you think we are.
Not having a go but trying to be helpful as the answers did not satisfy your curiosity.
Andy