Conversely, my grandfather always referred to himself as either Russian or Jewish, never Ukrainian.
I guess that it is pretty much an individual preference as to what you would have called yourself back in the day. But I still contend that there was never a separate and independent Ukraine in history, other than since the early 1990s (and, again, they have the right to be independent, along with the consequences of making bad foreign policy decisions).
My grandmother always said she was Russian, too.