Balkan isn't nationality, nor a country. His parents come from Croatia and Bosnia. He can't call himself Croatian or Bosnian because those are two parents and two countries. And he's Swedish by passport and by feelings, which actually makes him Swedish. But his name isn't the only thing that shows how not-Swedish he is.
And why would the Swedes keep asking him about being a Swede or not? Do they ask Andreas Isaksson or Anders Svensson the same question?
Maybe the Swedes themselves find it hard to recognize him as one of them and they keep asking for confirmations from his mouth.