I think it would depend highly on how cosmopolitan any given world-society is. One that is a Hi-Pop (Important) World with significant trade would would be more likely to see themselves as "Imperial Citizens" of World X, whereas more average worlds (and certainly backwaters) would be more likely to identify primarily with their homeworld.
My guess is that world rivalties and common history would also play a part here, as will the strategic situation in the zone.
Some examples:
>As depicted in MT's
Astrogator's Guide to Diapsora Sector, I guess Suffren will see them closer to the worlds latter forming the Unión of Suffren that to those forming the Vaslary Judicate. Is told that Suffren and Backman are long time rivals, and so I guess most of their citizens will see themselves as Imperial Citizens, but also as local political cluster's (not just planetary) ones, and hteir main loyality will vary according the situation (and in the HT they resorted to bitter zone nationalism, fogeting about Imperium).
>My guess is that the Vegan Autonomous Región, having the Solomani so close and as declared enemies, will have strong Imperial nationalism ingrained in them, as they depend more on the Imperium for their own survival than other zones.
>Spinward Marches will be in a similar situation to Vegans, die to the Zhodani/Vargr border problems and history of having been supported by the Imperium in the Frontier Wars.
>Corridor, a relatively poor, Navy dependent Sector, will have strong ties to Imperium and strong nationalism toward it.
>Illelish sector, having once revolted and been severely punished, will have some planetary/region loyality/nationalism, probably above imperial ones.
>Vland, with its long time history, will see themselves as vilani first and imperial latter.
All those examples given, now see how all of those zones developed when Rebellion began...