Not for me, no. I don't believe it makes sense to have both the UK and its constituent countries (because clearly people living in Scotland, Wales or any of the other constituent countries also live in the UK), so I decided to just go with the UK. If that bothers you then I'm sorry, but it's not likely to change any time soon.
Edit: And I don't believe Niko was "just changing his nationality." I'm pretty sure he was taking the piss out of Somalia. So yes, I do think that's more disrespectful than me following international convention.