I'm not a huge roleplayer but I do immerse myself in my characters. Currently, I'm leveling an Auri DRG and it feels very natural to nearly every story and expansion in the game thus far. In ARR, the Doman refugees appear and during the job quests,
you fight Estinien and are introduced to Nidhogg.
Heavensward is basically a gigantic job quest for dragoons that everyone can experience regardless of job.
It is a DIRECT continuation of the ARR job questline, and it brings you full circle.
Stormblood is all about the Far East. And if you're playing an Au Ra, well, its self-explanatory. You are freeing your homeland and your people.
Shadowbringers feels natural for everyone, so that of course, includes Auri dragoons.
Plus, Auri just look so incredibly badass in dragoon armor. Their horns and tails look like natural extensions of the armor. Especially if you play a Xaela. So, if you're into roleplay and character immersion, you should definitely make an Auri dragoon if you haven't done so already. It's great fun!