EUROSTAT. They are running regular surveys. From when they stated to today, the affiliation with Europe went up. Some somewhat recent data is here: https://europa.eu/eurobarometer/surveys/detail/2971

Given the dramatic amount of in EU migration that is not too surprising.

This data seems to suggest something completely different than that people are associating as citizens of EU instead of citizens of their respective countries.

93% of respondents are correct in that you become an EU citizen automatically by living in an EU country, and 87% "feel" that they're EU citizens.

I am not saying that European citizens are saying they are saying they are European over their nationality, but that the trend towards a European identity is going up over time.