Nationality Flags

I had this very random thought while I was in the bathroom watching a try not to laugh meme compilation from The Meme Sheep.

If there are country flags, province/state flags, city flags, and pride flags, how come there aren't nationality flags? I mean, there's—for example—the flag of Canada, the flag of Ontario, and the flag of St. Catharines, so how come there isn't a Canadian nationality flag?

I mean, sure, you could use a country flag to indicate your nationality, but that implies much more than just your nationality.

"What's your nationality?"
// Shows the flag of France
"You're French?"
// No, I'm Finnish. I just live in France.

Y'know?