Once again, I think
Endless Space 2 is an excellent model here where every citizen has an ethnicity, where emigration/immigration can happen across open borders, and where events can introduce new ethnicities. They
maaaaay want to think twice about having ethnicities have unique effects, though. It's all well and good to say Eyder produce extra money on gas giants, but if you start suggesting Arab citizens produce extra Gold from working Desert tiles you start to get into sketchy territory.
Depends on time and place. Ethnoreligious minorities are, well, minorities in the modern world (hence the term) where a great deal of the world belongs to universalist religions (saying someone is a Christian or a Muslim tells you nothing about their ethnicity, even if there are ethnoreligious minorities attached to both of them--like Assyrians or Hui respectively.); in the ancient world, however, yes, a Babylonian surely follows the Babylonian religion, etc.