Are people like myself, who are of northern European ancestry, supposed to go to a particular ethnic church for instruction and possible reception into Orthodoxy? I know it sounds like a stupid question, I just don't to be embarrassed by asking a Greek priest for direction if this is not the custom.
That's not a stupid question at all! There are no ethnic requirements of any kind in Orthodoxy.
One thing you should bear in mind. Catholics tend to look at Christianity as something to be defined very precisely and legalistically. As a result they have all these very strictly enforced canons and clearly defined catechisms to help understand the faith. Also the western mind ( I should know, I am a westerner) tends to look at a mystery as something to be solved or figured out and Catholics go to great lengths to do just that.
For the Orthodox a mystery is something to be experienced and held in awe, not something to be solved.
What does any of that have to do with your question? Orthodoxy is not primarily a set of beliefs to be gleaned from a book or a set of mysteries to be solved. Orthodoxy is a life to be lived and experienced in communion with God and with each other.
Orthodoxy is communicated through the life of the Church, the liturgy, services, prayers, hymns and icons. I don't know if you speak Greek or if the parish you are looking into uses primarily Greek or English, but if you are attending a parish where you don't understand the language used in the services you are hamstringing yourself.
Don't misunderstand me, there are lots of things you can learn from reading books and attending catechism or newcomers classes but if you are not able to fully experience the life of the Church it will be extremely difficult to acquire an Orthodox mindset.
Yours in Christ