Christians, as an extension fulfillment and culmination of Israel are a distinct nation, people - an ethnos. St Peter teaches this: "you are a chosen people, a royal priesthood, a holy nation, a people for God's own possession, to proclaim the virtues of Him who called you out of darkness into His marvelous light. Once you were not a people, but now you are the people of God..."
All Christians should consider themselves citizens of the kingdom of Christ, and consider themselves "foreigners and exiles" and "foreigners of the diaspora" (1 Pet 1:1) wherever they live.
St Paul echoes this teaching, reminding us that once we were "separate from Christ, alienated from the commonwealth of Israel" but we are "no longer strangers and aliens, but are fellow citizens of the saints and of the household of God" and "our citizenship is in heaven."
"The world" is defined for us by St John as "the desires of the flesh, the desires of the eyes, and the pride of life." This is exactly what St Peter contrasts when he calls us to be foreigners and exiles - "as foreigners and exiles...abstain from the desires of the flesh, which war against your soul." In other words, to abstain from the world. This has nothing to do with the concept of a temporal government.