You may have been told that it is, but it is not. "White" is not an ethnicity.
White is a social construct. Our notion of "white people" is nothing more than an outdated concept, created for the purposes of oppression and division. The entire idea of race is no different, and stems from imperialism. It has no valid scientific basis whatsoever. It's divided humanity for centuries, and still does.
There are 87 distinct European ethnicities, like Basque, Faroese, Croat, and Dane. There is no single group called "white".
But you know what kind of people use terms like "ethnically white"? Nazis.