if you're sick of the jokes, you don't have to tell people where you're really from. just make something up, or say something sort-of true and then change the subject.
i got pretty sick and tired of explaining myself and dealing with stupid jokes. nobody needs to know anything about you except your close friends.
Although they tend to be annoying in the long run, these kind of jokes usually are done without any malice.
I just think it's sad how stereotypes tend to be the only things that define a particular place, when there is so much more to be found.
I think I've been lucky myself - in 6 years living abroad I was questioned a lot only at the apex of the whole Berlusconi debacle... And even then I think it was more out of curiosity than jest. Ymmv, I guess, depending on the environment...