I suppose this sentence does not imply that she is born in France, does it? That would be: "(Lei) è di Francia", right? Or from 1st person perspective: "Sono di Francia" implies that I was born in France, whereas "Vengo dalla Francia" means that I'm just travelling back from France...?
Capitalization rules for any that are wondering: Nouns indicating people of a given nation or civilization (the Germans, the Egyptians, the Aztecs, etc.) require a capital letter. Nouns indicating people of a city, a region, etc., as well as all adjectives, instead, are spelled with a small (lowercase) letter. Only people from a given continent are sometimes spelled with a capital letter, as those from a country.
For cities, you don't use the article.
For countries, it depends on there verb. With andare in no article is used (unless there country is plural: vado negli Stati Uniti/nelle Filippine otherwise vado in Cina/America/Svezia). With venire da you need the articles (vengo dalla Francia/Germania/Cina).
I think you need to use essere if you want to say where people are from. See Kjeld-Uwe's comment above.
[lei] è di Francia = she is from (as in "grew up in") France
[lei] viene dalla Francia = she comes from (as in "travels from") France
Please correct me if any of this is wrong. In particular, I have no idea whether I should precede the country name with an article (della) or not (di) in the grew-up-in form.