For anyone who's played Crusader Kings II lately, this won't come as a surprise. For everyone else... well, perhaps it will. I have seen many arguments presented on either side of the fence about whether or not kingdoms were similar to or the same as nation-states; whether they were, in any real sense, nations. Part of having a nationality entails having an ethnic identity tied to your state. I would dispute whether this was true in any real sense; Franks, for example, seem to think of themselves as Franks well into the 9th century whether they are from Lotharingia, East Francia, the Holy Roman Empire, or what-have-you. While its certainly true that institutional systems lingered from kingdom to kingdom, it's also true that these systems were divided upon the death of rulers when kingdoms fractured.
The territories of kingdoms were not geographically defined "states" with solid borders as we think of them today. Kingdoms could rise and fall in under a generation, coalesce and then find themselves resubmerged into the European milieu. I've tried, to some extent, to model this in the 10th Age in that many of the human kingdoms present in "modern times" are not more than one or two hundred years old. The idea of being Eylic is more important than being from Weyland or Claulan. Even elvish kingdoms are prone to division and collapse, as is visible in the splintering of Silversong and her royalty.
This, of course, brings into question one of the elements of D&D and any fantasy setting with long-lived creatures which was never an issue in medieval Europe. Namely, that there are creatures who have lived long enough to see a hundred human kingdoms appear and disappear. The follies of men must be plainly on display for elves and dwarves, since they are as inconstant as the wind. They pass like mayflies through the world, vainly raising up their edifices of law and culture only to have them crumbly almost at once, or to be reshaped into new things.
The ephemerality of early medieval kingdoms is important to the setting as it is to history. Fictive links to previous, now vanished, kingdoms and empires must be established to grant the trappings of authority. How much more mighty is the Third Empire of Miles than the apparently unrelated Kingdom of Thyrnesse... and yet both are the same territorial regions, ruled by the same men who bear little to no relation to those ancient Milean conquerors. Thus are the lives of kingdoms given false history, their shadows stitched end to end back to the beginnings of remembered time just as when Rome had to be given the link to Aeneas and the Trojan War to help grant it a longer and more heroic founding.