Ovid referred to Palestinians. Josephus referred to Palestine. Really, this should be simple: the name of the region was Palestine, and Jesus lived most or all of his life in it, so Jesus was a Palestinian. It seems Canaan was mostly forgotten by then, so they wouldn't have any other name for the region that I know of. If you do, offer it. If you don't, believe what you will, but accept that the evidence is against you.