Just something I thought of...
What if?(The question loved by all) What if instead of nations, they originally were humans? But something changed them... a war between Heaven and Hell went too far and the human learned of it, in turn choosing sides or choosing to remain neutral.
All of a sudden, those choosing sides started to become apart of the race on that side, humans growing wings, or horns.
In normal words, nations were humans, before they were caught up in the war and ended up choosing sides (or were already apart of a side). Then, humans/nations and normal humans became that race. (I've noticed how similar to vampires and Werewolfs this is...)
Then you could have like, Main angel city, main demon city, Heaven, Hell, Undergrounds (this could be a very dark place... maybe owned by the darkest angels, darker humans and normal demons who sell other races/their race as slaves?) and then neutral area.