Once you select a Nation, you will be moved to its Capital City to start the game.
The Quests you can take at your Nation's Capital City are different from those available at other Capital Cities, as well as the Trade Goods/Items sold. Relation between Nations is also a key factor on to how you interact with other players and Nations.
After you start playing UWO, you can play your own Nation's "Scenario Event." Through this Event, you will be able to obtain Port Permits for other areas. However, the order of obtaining them and the process of obtaining them are different from Nation to Nation.
You may find more differences between Nations. However, it's recommended to select your favorite Nation to start with as you can always defect to another Nation later on.