Apart from the obvious, that is, that she comes from a non-EU country or a country that (wrongly) has negative connotations, and she is being less than honest, nationality can be less than straightforward.

We live on an Island, but if you don’t, you are more likely to more around over borders a lot, and those borders in Europe have moved themselves. Then you can have a mother of one nationality, a father of another, not to mention grandparents and so on.