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What I mean by that is say your the Emperor(or empress , there might be a female or 10 here .) and you wanted to gain in general more loyalty from your population . Would have trying to get the Iranian and other peoples to think there Greek and there better than the people not in the empire have worked at all?
Well, it certainly worked for the Sassanians who listed peoples who were not considered "Êr" or "Êrânagî" (Aryan), yet they styled themselves worldly rulers of "noble peoples" (Êrânagî) and the "ignoble peoples" (Ânêr). However geo-politics were never that simple, and more than often this was the rationale of the noble houses and the magnates/grandees (Vuzûrgân) who jealously defended their heritage. More than often the royal house served as the "champion" of the common folk and the landed gentry.
The Parthians however were not as explicit as their successors. They had a far more liberal and pragmatic approach to things and are often hailed to be the "semi-nomads who merged Iranian and Hellenistic traditions". While the great clans certainly fostered and encouraged a more nationalistic fervor as they saw themselves as the select few privileged nobles, the Parthians do perhaps feature the greatest spectrum of vassals, and clients, in addition to clans and their satrap dependants, and equally a diverse population of Iranians and non-Iranians as well as two lingua franca in addition to a Middle Persian language. Therefore the Parthians initiated a slow, but steady process of Iranicizing the possessions while bolstering Hellenistic and Chaldaeo-Aramaic language and nomenclature, and certain cultural aspects; Providing an excellent basis for the more centralized and undoubtly more nationalistic Sassanians to expand upon.
So an attempted simple answer to your simple question would be that there is a deal of "cultural architecture" that needs to be founded before anything else; Macedonia was long considered the end-zone of Greek culture, before the time of Phillip, just as the Dahae were merely known as robbers to the Achaemenids. When spoken of historical possessions of the Successors, especially non-Greek districts it would have been necessary to garner loyalty, perhaps by force, or maybe by incentive. Given some time where lingual and cultural factors play their game, finally can there be a "national identity". It all comes down to cultural architecture, consolidation and what kind of propaganda machine one would have wanted to use. Pontus for instance had Iranian roots, but in the end resembled more a Hellenistic state. Nobles usually tend to be very protective of their ethnical claims.
That monkey pikminhunter wants you TPC back at the history board . Leave him alive so me and slavers can pick him up ok ?
Lots of infrastructure still missing, both mentally and physically. Population would simply have been too scattered and communication between rulers and people would be too abstract for most to care who ruled. Remember, most population lived outside cities and nationalism would only really be found in the top of the elite; but even then, loyalty tended to be centred on the city or region of birth, or in larger empires on a dynasty/individual with military might, not an abstract idea of a state which couldn't be enforced over large distances.