Is the tag even already there before you pick that dialogue option? I didn't bother to check, but if the answer was "no" it would implicitly address a lot of things.
To answer, since I just started playing the intro again as a human, it clearly says Balduran in the character information tab on the ship starting off. At least for now, all are considered from Baldur's Gate that are not Drow (Both are considered not of BG) or Githyanki. That may change further down the road, but for right now that is the default, but as you did say, you don't have to pick those options and still say you aren't from there. It is after all just a tag on a character sheet.
