Well my 2 cents - Wales hasn't been formally considered a country since the 13th century when it lost its independance to England. It's current status within the United Kingdom is more like a US State / Canadian Province etc - they have limited local control of some aspects of society but no control over defence, foreign affairs or the economy or immigration which are the usual things that differentiate an administrative region from a nation. Scotland by the act of Union is still technically a sovereign state with its own crown, own currency (act of Union enshrined Scotlands right to produce scottish pounds which they still do although british pounds are also legal tender - scottish pounds are not legal tender in England/Wales/Northern Ireland though), own legal system (based on Roman law not english common law), state church etc although some of its sovereign powers are devolved to the UK parliament in London. (As a Quirk the Queen is Queen Elizabeth the First of Scotland not QE2 as in England since QE1 of England never reigned in scotland - all that Mary Queen of Scots stuff).

That all said it is the United Kingdom of Great Britain and Northern Ireland that is a member of the United Nations and the European Union not Scotland or England (although they get individual national soccer teams).

So - in the end Wales should only be labelled if you would label a US state on the same scale map (or the states / provinces of any other EU country for that matter).