In a scene in the movie Foreign Letters, a recent immigrant to the United States from Israel expresses to her husband her amazement that in America to be called a Jew is considered offensive, while to be called Jewish is perfectly acceptable. I, too, have noticed this odd distinction, and like the woman in the film, I don't understand it either.
That are other distinctions that are equally curious. It is, for example, considered offensive to refer to "colored people," while "people of color" is proper. To anyone who has lived in this country for a few decades, it will be clear why one of these phrases contains cultural baggage the other does not, but imagine how confusing this must be to a relative newcomer.
I noticed the Census Bureau has decided to stop using the word Negro, long after most others stopped using it. I don't know why Negro should be offensive, but it is to many people, so it's best to avoid it. Most people prefer black or African-American, even though many black persons are neither black nor Americans (nor Africans).
Similarly, Asian is considered proper, while Oriental is not. For some strange reason, it is wrong to refer to a person's race, but OK to refer to the geographical origin of that race. This is true, even though not all Asians are Oriental, and not all Africans are Negro.
White people don't seem to mind being called Caucasian, although I've noticed that white people are routinely referred to as Europeans in Canada. The fact that they may have never been within 1,000 miles of Europe makes no difference.
Native Americans is now the common way to refer to American Indians. This has always annoyed me because the word native refers to one's birth. I was born in Ohio, thus I am both a native Ohioan and a native American, even though my ancestors came from Europe. Even "native Americans" originally came from somewhere else, so they are really no more native than I am. Their families just came before mine did, just like the Mayflower families came before mine did.
All these unwritten rules about how one should and should not refer to people must be very confusing to immigrants. They are confusing to me, and I'm a native.