Here we get into Palestine as a geographic vs. political vs. ethnic definition.

Jesus was born in the Roman province of Judea (Bethlehem), ethnically and religiously identified as a Jewish person by the earliest accounts we have. In the region at the time, there were Jews of various sects, Samaritans, indigenous polytheists, And Greek and Roman polytheists.

The region was renamed from Judaea to Palestine after the Jewish war which took place after Jesus Death. Previously, “Philistia” the origin of the Roman province name referred only to the region of the coastal plane settled by the “Sea Peoples” between the Sinai coast and Jaffa.

So, while calling Jesus “Palestinian” is correct as a geographic designation, I think it is somewhat misleading as nobody, ( Jew, gentile, Greek, Latin or Aramaic speaking ) identified themselves as Palestinian until several decades after Jesus’s death.

What would be historically accurate in terms of Roman terminology would be to call Jesus “Judean.” The problem is, calling anyone “Judean” is now problematic because I guarantee anyone who calls them self Judean currently is a hasbara psycho.

Maybe Levantine?