Originally Posted by
PlanckZero
Your starting nation is entirely dependent on your first chosen class, there is no changing that.
This is not your "nationality", it simply determines which of the three minor storylines you have leading into the main story. Once you get your airship pass there is no difference between which nation you chose and you can use the same services in any nation you wish to use as your home base.
Your real "nationality" is chosen when you pick which Grand Company you wish to join later on.