I do whinge about the crappy "God Save The Queen" that England seems to be stuck with, but according to this interesting web site, it’s not actually our "official" anthem. In fact, we don’t have one – by law anyway. It just seems that England finds itself in an awkward position of being too closely identified as Great Britain and therefore defaulting to the "umbrella" anthem.
This is endemic of England’s lack of identity these days. There’s not denying that the Scots definitely and the Welsh to a lesser extent (though actually more so recently) have a definite established identity. Northern Ireland, to outside views, is still more lumped in with the Republic as part of the Emerald Isle thing but still has its own identity as part of the United Kingdom (not Great Britain – check the wording on your passport, people).
England, however, is often just seen as the UK. Scots say they’re from Scotland, Taffs from Wales and Micks from Ireland (I wonder… Irish folk – if an foreigner asks you where you’re from, do you specify North or South?). English people – in my experience travelling – are as likely to say "Britain" or "the UK" as they are to say "England". At least I have an excuse with my parentage.
Regardless, have a trawl through the site. It makes for some interesting reading.