There is such a thing, though its incorrect to say that the people of Cornwall are mostly ethnically Celtic. Celtic essentially refers to those who originally occupied England, and continued to be the mainstay of the populus until the fall of the Roman Empire, when the Anglo-Saxons came, saw and conquered. The Celtic people were then pushed into the extremities of the island, Cornwall and Scotland mostly.
That's basically what I meant by saying like Wales. Wales was also oen fo the places where the Anglo-Saxons pushed the original inhabitants. Where the Anglo-Saxons settled outside of Cornwall is now modern day England.
And I know the language is dead now, but the same is basically true of Welsh, Gaelic and Irish. There are revival attempts of course, but no one really speaks those today as their main native tongue.
They're not "colonies." They have complete domestic self-government; the United Kingdom is only responsible for defense and foreign affairs.
Well the same is also true of territories considered colonies, Greenland for example. Perhaps a better analogy though would be psuedo-nations like Liechenstein and Monaco, only not officially independent.