Absolutely, you cannot reasonably be proud of accidentally being born in whatever country.
you can however reasonably be proud of your country, and I think that's what they usually mean.
Then again, some people are proud of their skin color, and that doesn't really make any more sense than being proud of nationality.
But the ones who are proud of their skin color are usually racist. So I'm guessing if you are proud to be of a country, you are similarly a nationalist. Which generally also means xenophobe.
Many people have opinions that are not arrived at with reason.