Am I Missing Something?

What exactly is Jewish ethnicity? Is Jewish the same thing as Middle-Eastern or Arab? There are Arab Christians out there who don't put "Christian" down as their ethnicity. Is there an appropriate slot for a Palestinian when filling out these forms? Although they are from the same geographic region they're not of Jewish ethnicity. You could be Jewish and European - not the same thing as Jewish and Arab.

When someone asks what your ethnicity is and you say Jewish what are you trying to tell the other person? If I were to respond "Muslim" what does that mean? Does that make me Arab, European, American, Asian, a fundamentalist? Does stating your religion as your ethnicity really tell me anything about your ethnicity?