it has been discussed 100 times.. when i started using this site, I also put first "qatar". At that time it was not "Nationality", but rather "Country" or something like that. SO i thought since I am in qatar, I put my country Qatar. What's wrong with that? Then later I decided to change it to the country which I came from. At that time you still could change country, and some other details in your profile.
Then Ahmad and Qatari renamed this field to "Nationality", and the entry in this field is not changable now. By the way, i know some brits, germans, canadians, etc., who indicated their "nationality" whatever you just can imagine but the real ones...
It has nothing to do with being ashamed... there are different reasons for it..