My ancestry is not eastern-European, and sometimes when I meet people in a Jewish setting and we introduce ourselves, I'm met with "that's not a Jewish name" (referring to my last name, mostly). I don't think the person saying this means to challenge me; it's just an observation. But it seems to call for a reply, and I'm never sure what to say. "There are Jews in Italy", while true, feels a little dismissive, but the details of my family background really aren't relevant most of the time. I understand that Miss Manners would call for something like "why does that concern you?", but that doesn't feel like an appropriate Jewish response to me somehow.
In a casual encounter with a stranger who does not appear to be trolling, how should one respond to this kind of statement? Is there any factor in one's background that, if present, would affect how one responds -- does the answer change if you're the product of an intermarriage, the descendant of a convert, a convert yourself, the descendant of crypto-Jews (marranos), etc?
(No, I'm not going to change my name to dodge this problem.)