Question

Is it usual in most languages that nationality is a proper noun?

Answer 1

Yes it is.

Explanation:

I know some languages: Polish, English, German and a little Russian and in all those languages nationalities are capitalized which means they are proper nouns.

The situation is a little more difficult in German where all nouns are written with capital letter no matter if they are propper or common, but there you can recognize proper nouns because they are usually used without article (der, die or das).