By the time Jesus was born, the Promise Land had dwindled down to two tribes/nations. One was Judea. (Can't remember the other one, sorry.) Mary and Joe were both from Judea and living in Judea, which, by that time, had been capture by Rome, and had become part of their empire. And at the time of Jesus' birth, they had to go back to Bethlehem to be counted in the census, along with everyone else who was ever born there. I'm thinking the shepherds were Judeians too. Either living there all along or bringing their sheep with them to be counted in the census, because you can't just leave sheep behind that long. They aren't that bright.
Since they understood what the angels were all excited about, it's safe to assume they were "Jewish." But, oddly enough I really don't know when the Israelites became Jews. Why weren't they still Israelites?