Nationality is a concept, not a specific thing. It refers to a person's status as a citizen of a particular country.
To express a nationality, you need a proper noun that represents the specific country. For example:
* American (for a citizen of the United States of America)
* Canadian (for a citizen of Canada)
* Japanese (for a citizen of Japan)
Therefore, the "proper noun" that corresponds to "nationality" is the name of the country itself, which is used to form the adjective describing the nationality.