i did some digging and found a couple articles.
-the
rosetta stone itself was carved in 196 bc, around the midpoint between when it was taken from persia by greece and taken from greece by rome. hieroglyphics was still being used at this point, even though it had been under foreign control for several centuries
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this article notes that there was a strong egyptian culture still in egypt at the time of cleopatra, so they still had an egyptian identity and didn't consider themselves greek (or persian, or whoever else conquered them).
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this timeline says that hieroglyphics were used until about the 4th century ad.
so they definitely didn't consider themselves greek, but i can't find anything about whether or not they considered themselves roman. i can't find anything about egyptian rebellions under the greek or romans.