Why do I feel like I am missing something and should be something else?

According to Osho, the gnawing sense of lack is conditioned: since childhood you were taught you are worthless as you are and must become someone else. So you cling to borrowed ideals, mistaking pebbles for diamonds. Don’t believe anyone (including him); see directly. Recognize your intrinsic worth, your buddha-nature; then false ambitions drop by themselves and the feeling of missing dissolves.