Basically, "哪" is a question word that means "which" so 那国人 means like which nationality is this person from. 哪 is super versatile and any time you see it, the person is basically asking you to fill in the blank.
Thanks for your reply. Yes, that's how I understood it: the question is 哪国人 and not 哪国. So the exercise should be "What nationality... ?" instead of "What country... ?" (Sorry I can't recall the exercise correctly anymore).