What does ethnicity mean?

I’m reading a book called The Beginnings of Jewishness, which examines what it meant to be Jewish in the ancient Mediterranean world.  The author, in excessive detail, explains that Jewish identity was often fluid, unstable, uncertain, and in many other ways complex and confusing.  It was a geographic, ethnic, religious, and political designation.  It was often applied by outsiders for different reasons than it was applied by insiders.   Ultimately, Jewish identity was different things to different people during different times and places.  And it still is.

The author spends some time discussing the meaning of ethnicity.  This is a term I have thought about somewhat in my studies of Native American religions.  It is a term I have never been able to satisfactorily pin down.  Is someone who is adopted into a Native American tribe/nation considered to be ethnically of that tribe/nation?  Is someone who converts to Judaism now an ethnic Jew?  I once had someone tell me they were ethnically Catholic.  What does that mean?

I have a hard time with this word because so many people use it to mean so many different things.  I’ve heard people say that someone looks ethnic (which I assume is just a different way of saying dark skinned?)  I’ve walked down the ethnic food aisle at the grocery store utterly confused by the selection before me.  It’s a term I’ve grown increasingly uncomfortable with and the more I try to figure it out the more frustrated and confused I become.