That national identity comes out not just in times of national crisis though. Here in Colorado, the majority of people you meet everyday aren't from Colorado. They're from California or Texas. I poke fun at nearly every Texan I meet, and I know that if I went to Texas they'd do the same. But here's the thing, I can go to Texas, and expect things to be more or less the same there as it is here. There are some different laws, and some different attitudes, but I'm still very much in the western United States.
National identity can be strained, but, it works, and it doesn't require an outside threat to function. Here in the US, we have standardized currency, (pretty much) unrestricted movement between states, our national news really does cover the entire country, we have a military made up of every state and indeed territory (in part, to prevent any one state from trying to succeed), we have one top diplomat in Secretary of State, and one national image. When a bridge collapses in Minnesota and kills a bunch of people, we all here about it and the states all worry about their infrastructure. When a hurricane hits Florida, it hits the entire US; it matters to us more than if it hits Mexico. Obviously, if Colorado was hit by . . . well it's safe here . . . but if somehow CO was hit by a hurricane, it would matter more to me, but that doesn't change the fact that Florida is still part of where I live.
UK might be a bad example. Although it has an impressively large population, it's still geographically smaller, and less diverse, than my own state. Although Londoners might look down on midlanders they only live a few hundred kilometers away. The EU is a tempting example, but they're not really a nation, more of a trade alliance and legal board.