"Nationality" here means which country issued the travel document (passport) that you are using for identification with the airline.

The Austrian document that you have is not a travel document and must be used with a passport issued by another country. It also implies you're not a citizen of Austria. In some rare cases you could still have a passport or another travel document issued by Austria but if that's not the case, and you don't have any other travel documents besides the Macedonian passport, you can only choose Macedonia (might be shown as "FYRM" on some lists but I guess you already know that).