You can find Ethnicity in the advanced list object titled User Citizenship/Residency.
1. Locate the User Citizenship/Residency object in the Select Objects tab under Constituent Information. 2. Click on the object to add it to your list.
3. Then in the Display Fields tab, you can set the Ethnicity field to display by clicking Select Fields. 4. In the Select Display Fields popup, expand the User Citizenship/Residency object and select Ethnicity. 5. Click Select. 6. Save your list.