British is the "official" nationality, but on lots of forms, applications etc, you can put Scottish, Welsh, English, Irish. My son was born in England, his Dad was English, I'm Scottish & we now live in Wales! He still says he's English (although he does admit to the Scottish connection occasionally - especially during the 6 Nations!!). I guess your soon-to-be grandchild could say (once he/she learns to speak!) they were Welsh. It's up to them in the long run. Congratulations, btw!