Given that the game is Baldur's Gate, and all the NPCs are strongly hinting that all roads lead to there and we'll all end up in the city eventually, it isn't an issue for me that the player character could also be from there (IF you choose the Baldurian conversation options) as are several of the companions. It certainly doesn't feel forced at this point.
If you don't see your character as being from the city of Baldur's Gate, do not choose those conversation options - particularly as they MIGHT flag something that comes up later in the game that happens actually in the city?
Such as in DA:I (fresh in my mind after a replay), the more often you say you're a faithful Andrastian, the more faith-related options show up ie faithful-Inquisitor judging options, conversation options, etc.
I have a feeling some of the conversation flags will be important later on in BG3 as well.
