You should capitalize the names of countries, nationalities, and languages because they are proper nouns—English nouns that are always capitalized.

Do you Capitalise Welsh?

The regions of Wales - South Wales, Mid Wales, North Wales and West Wales should always be capitalised and should not be hyphenated. Regions should not be capitalised when used as compass points, e.g. 'driving north on The Cambrian Way'.

Do you capitalize nationalities as adjectives?

Note: Languages and nationalities are always capitalised, both when used as nouns and when used as adjectives.