Essentially, Misha has no stable identity. Who or what he is at any given moment is largely defined by other people. So for instance, when the story begins, he thinks he's called "Stopthief" because that's what everyone shouts at him. Later on he's given the name Misha Pilsudski, but he still doesn't quite know who he is.
At various points in the story Misha adopts the persona of a gypsy, a Jew, and a member of the Milgrom family but without actually being any one of them. It is this lack of a fixed, stable identity that sets Misha apart from the other characters in the story. Crucially, it's also what helps him to survive for so long. To a considerable extent, World War II, especially as it was fought in Poland, was a conflict in which racial identities were considered essential. Having the "wrong" racial identity could mean death. But because Misha has no such fixed identity, no sense of where he truly belongs, he's able to avoid the fate of so many others at least for a time.