Usually we translate "Volk" as people. But the German word inherits a whole tradition of thought we will loose this way.
Kant, in his "Anthropology" (1796/97), still had defined "Volk" in a simple way.
Unter dem Wort Volk (populus) versteht man die in einem Landstrich vereinigte Menge Menschen, insofern sie ein Ganzes ausmacht.
For Kant, "das Volk" is just a unit of people. Things change with Herder. In his "Ideen zur Philosophie der Geschichte der Menschheit" he writes:
Die Natur erzieht Familien; der natürlichste Staat ist also auch ein Volk, mit einem Nationalcharakter. Jahrtausendelang erhält sich dieser in ihm …
Herder believes in a "national character", and it is here that "Volk" begins to be considered an animated being of its own right. The Romantics will continue charging the concept. When Nietzsche contraposes "Staat" to "Volk", he lives in the romantic tradition. The rational State is cold, the "Volk" is warm and living. The cited passage is from the beginning of "Zarathustra", though.
If interested, have a look
at this book, pp. 755-57.