I am going to thoroughly answer this question while attempting to refrain from delving too deeply into human psychology....
First off a little history. I believe it's important to fully understand the phenomena of country loyalty to reiterate some of what APDrone pointed out. By far, the vast majority of original players of AH migrated from Airwarrior which, for those who don't know, was a very well established game. Airwarrior had been around in one incarnation or another since the 1980's, it is the progenitor of this entire genre of massively multi-player online WWII combat flight sims. In fact in Airwarrior, prior to being destroyed by Electronic Arts, it was not uncommon to have several thousand people playing everynight in the various arenas of which there were more than a dozen (as opposed to the several hundred people we have in AH nightly across only a few arenas). In Airwarrior it was very uncommon for people to switch countries, most people were in a squadron which was likewise typically loyal to their respective countries with very few exceptions (ie: Nomads). When we all migrated to AH upon Airwarrior's decline/demise we simply brought that ingrained culture with us. For example, I was Bz in AW-Full Realism, 99% of my compatriots that I had flown with for years and years that came to AH became Rooks, not consciously mind you, we just naturally coalesced there.
So, when AH got into full swing, even though it was a new game, the community and culture was quite mature and established. Now fast forward from the latter 1980's to 2008 and you have 20 years of accumulated natural human propensity fullfilling the, "Birds of a feather flock together", axiom. Obviously, not everyone that came to AH came from Airwarrior, and not all of those that did migrate from Airwarrior still play AH, but they did and still do form a predominantly loyal core or backbone of each country in AH. It's actually fascinating, but most of the Az I knew in AWFR are Bishops in AH, most of the Cz I knew are Knights, the Bz are Rooks and you guessed it, they all tended to approach the game in a subtley unique way in AW just as they do to this day in AH. Because they still retain a unique "flavor" the countries tend to attract and retain those same like-minded souls they did years ago, even people that weren't alive back when this "culture" was first established.
Now, we have likeminded people magnetically gravitating toward each other over the years and continually, but why? In an openended massively multi-player combat game with a compelling social component it is human nature to want to collaborate and cooperate in endeavors you enjoy and at the same time not feel obliged, by virtue of necessity or peer pressure, to participate in activities you do not enjoy. Compound that with the fact that the adversarial multi-player combat environment does not reward people who attempt to operate in isolation from or in strategic contradiction to the goals of the majority...
Here is an example of this I will distill and simplify for the purpose of illustration....
There is a fight between two bases. Ten people from country X decide to attack country Y. Nine from country X like to up heavy fighters with ordnance with the intent of assaulting the enemy airfield and one of them always ups a light fighter with the intent of interdicting the CAP of the opposing team (furball). So, country X's force of 10 planes gains 15k'ish alt then turns to proceed toward the enemy base. Along the way they see the 10 bandits from country Y at 12k with unknown intentions. Unknown to country X's contingent, nine of country Y's fighters are looking to engage CAP fighters (furball) while only 1 is laden with ordnance for ground attack on their airfield. So, the one light fighter on country X boldly engages the 9 CAP fighters of country Y while his nine heavy countrymen ambivalently proceed to their target intent on ground attack. Naturally, our poor lone light fighter friend from country X does not last long against the nine furballers of country Y. He is deeply saddened his heavy teammates did not jettison their ordnance and help him fight. Likewise, the lone heavy fighter from country Y, although making it to his target, cannot do enough alone to cause appreciable damage to country X's airfield. He is very sad his countrymen did not choose to come heavy and help him level the airfield. Eventually country X's one light fighter jock will seek to join his fight-centric brethren on country Y as he is not having much fun being left to fight alone against heavy odds. The lone heavy fighter on country Y gets tired of getting no help destroying enemy bases while his mates "mindlessly furball", he inevitably joins country X to be with his egg toting soulmates. Now, rinse and repeat this scenario ad infinitum with 100 times as many participants in similar proportion then extrapolate that over a timespan of months and years, the outcome is clear and self re-enforcing.
Another salient factor that tends to foster country fidelity is a lot simpler to understand, familiarity. The key to understanding the importance of this is to acknowledge that 90% of the air to air kills are obtained by 10% of the pilots. That 10% are disproportionately effective for a myriad of reasons ranging from experience to sheer hours played. But, one of the most important contributing factors in this complex and fast paced combat sim is the cooperative employment of tactics and communication. It is possible to achieve this level of efficiency borne by cooperation and communication in only a few ways...
1) You fight with an established wingman virtually all the time who knows your every move and vice-versa and you communicate with him intimately during a fight.
2) You fight with a group of proficient squadmates most of the time that communicate and cooperate very effectively while fighting.
3) You fly more or less alone but are very familiar with the cast of characters that tend to fly when you do and you communicate with them in a fight. In fact, you have grown so familiar with them you have a good idea who is useless in a fight, who has great or poor aim , who can recognize a setup, who tends to rope or drag and those that tend to avoid fighting altogether until they get their ordnance delivered etc...
Obviously, reason #1 and #2 could be achieved regardless of whether you switch countries or not, provided your friends follow you around and always play when you do. Reason #3 however, can practically only be achieved if you remain on one country. Unless you play 300+ hours a month and are endowed with superhuman memory it would be almost impossible to gain that requisite degree of familiarity with the thousands that play monthly for the three countries. It is much more realistic to achieve this level of familiarity with just one country's denizens.
In conclusion, I made every attempt to express my thoughts as objectively as possible, without personal bias. I am not advocating country switching or fidelity. But, I am a firm believer that each country has a core of players that never switch and conduct themselves in a unique way, which happens to be substantiated statistically. While there may be vestiges of a "country's uniqueness" ubiquitously present to a varying degrees across all countries, there is a predominance of behavior that resonates from the non-transient core giving each country its pervasive "flavor". That unique country "flavor" oscillates within only a very narrow range over time largely due to the influx of as yet, "uncultured" new players oblivious to their future play-style proclivities, the out-flux of more seasoned players to countries aligned more closely to their particular 'fun factor' and players/squadrons that habitually switch countries on a whim, for balance reasons or on a rotation basis.
