Once creating a pro and setting their nationality (Welsh, in my case), if you go into the "My Pro" option and move across to the contracts tab, under the Nation section, it only says USA. (This has happened in 2 different games with me now)
What kind of console are you using?
What version of the game is it?
What were you doing when this happened?
Do you have a video or a screenshot? Please feel free to attach it to your comment.