The same people who will ask about European-sounding names are the exact same ones that aren't allowed to ask about names from literally anywhere else.
I just don't know about anywhere else. I went through a family tree phase recently and learned a lot about names from a few european countries, but outside of that I'm pretty ignorant. That said, I also never really liked the lineage small talk, it always seems to dead end pretty quickly for me:
"That an interesting name, is is German."
"Yes, my great, great grandfather was German."
"...good for him?"