I generally select Other, Native American, Germanic, Middle Easterner or African depending on the timeline. On a long enough timescale, all of the descendants of homo erectus came from Africa a couple million years ago. On a more narrow scope, about 200,000 years ago AFAIK, H. sapiens sapiens came from the from the Middle East. Within the last hundred years, my direct ancestors came from Germanic stock, with some Slavic. Within my lifetime, I am a native to the United States.
As far as I know, none of my direct genetics is from or even passed through the Caucasus Mountain region within recorded history, so I'm at a bit of a loss on why any sane person would expect me to claim it.