The question ‘what country should fictional villains be from’ already misses the damn point.
A fictional character can be from any country you choose, from the real-world city of new york to the fictional middle eastern town of… i dunno, let’s call it Ahcem. But a person from New York isn’t going to be the same as a person from Ahcem, who isn’t going to be the same as a person from Japan, or Brazil, or the United Federation of Planets. A villain from Russia isn’t going to have the same values, skills, plans or goals as a villain from the Sahara Desert, which is why making your villain automatically from a given location missed the point of giving them a place of origin to begin with. A specific country is not, in and of itself, a valid reason to have a villain from there.
If you have a 50 year old communist secret agent turned businessman, it makes sense for him to be from Russia. But – as an example – it doesn’t make much sense to have your Nazi be a time travelling Viking from South Africa. A fictional character’s home and place of origin should say something about who they are. Russia, for instance, has a long history of strong central governments and autocratic rulers, so it would make sense that a Russian man have a strong belief in discipline, unity, the value of the collective over the individual, etc. On the other hand, America has a long history of fighting against a new “crisis” every generation or so, and arguing over the nature of liberty. An American man would be more likely to value individual autonomoy and the power of personal choice. It’s okay for a Nazi to be German (for what I hope are obvious reasons) but it doesn’t mean that a German villain is okay to treat like a Nazi.
So the question becomes ‘what would cause this villain to think this way’. If that is enhanced by a particular nationality, so be it, but the idea that any particular nationality is automatically okay to be a villain is racist, nationalist, AND stupid.
In addition, one must be careful not to fall into stereotyping any particular group. To use a previous example, while it is perfectly possible that someone from Russia would believe in the power of a strong government, it’s also possible they would reject their nation’s ideas entirely and instead be strong proponents of Anarchy, or just in part and urge for a strong welfare state. Or not even particularly care about politics and just be a huge anime geek, who builds giant robots to conquer nations for fun… Better write that one down.
I find it helps to think of particular ideas as influences rather than full-on rules – vikings were encouraged to drink, fight, and worship their pantheon. That doesn’t mean you won’t find a pacifist viking, or one who refuses to drink. It’s just less expected.
(No offense meant – this isn’t a commentary on any particular nationality, I’m just saying that where you grow up and the history of where you grew up influences how you think)