I'm a Nation, and me and my dad's folks used to live in Savannah, GA.
My grandma did a little digging. Long story short, it seems that the name originated in France. A group of French rebels were forced to leave the country, because they were Luthren. They settled in England, but felt no loyalty to the state. And, as they no longer felt that France was their home, they decided that they were their own seperate Nation. And that, according to my grandma, is where the name comes from.
Of course, it might be different for you. But I hope this helps some!