The word 'Nationality' is not often used in spoken English. It is a formal and official word and it appears more frequently in written English. You will find the word 'Nationality' is used a lot in the travel industry and for immigration.
We almost never say: What is your nationality?
We usually say: Where are you from? OR Where do you come from?
To tell someone your nationality you DON'T say: My nationality is Spanish.
You say: I'm Spanish
As we are revising the names of counries and nationalities, here you can find a complete list of them.
But now let's play some games:
Game 1: Match the cards
Game 2: Complete the blanks
And if you want to print a poster with some popular nationalities and flags here you are, thanks to islcollective.