The name India came later, during Buddha's era the entire region of North India was called Bharat. Buddha spoke Maghadi, a dialect close to Pali. He spent his entire life preaching in the North Indian Kingdoms of Kosala, and then in Magadha. So how can we call him a Nepali? Yes! he was born in Lumbini, which at present is inside Nepal's territory. Anyway, as moneyminded said great souls like Buddha belong to the world, not to an individual country or religion.