It tends to be more about ethnicity than nationalism per se, but yes. Your membership in the Albanian/Serb/Roma/Croat/etc. community is central to your personal identity in the Balkans, far outweighing where you happen to live or where you happen to spend your Sunday mornings/Friday afternoons.
They're all interrelated though, so it gets complicated rather quickly. But yes: Serbs are proud to be Serbs.