UPDATE:
After 3 days wait, I got an reply from AF Facebook channel. And their reply is as appalling as their response efficiency. "We kindly advise you to verify this with your respective embassy or consulates." Clearly country of residence means the country that a person lives for the most of the year and pay tax. It is only AF have such requirement to put nationality as country of residence so they should know the reason behind and guide me accordingly. This response is just unacceptable.

Anyway, I did as AF asked to put nationality as country of residence.