"1.Where are they from? De que país são?"
It is good, but it'd be more complete if you use the pronoun "eles", so "De que país eles são?".
"Qual são as nacionalidades deles?」 OR 「Qual são a nacionalidade dele?"
The first one is great, the second one is wrong, cause "são" is plural, you are speaking a singular question, so "Qual é a nacionalidade dele?", is the correct way.
2.Which province are you from?
De que província é?
Qual é a sua província?
The second one is very good, the first one is not so good, if you talk like that, the person will understand you, but sounds a bit strange, cause you didn't use the pronoun "você", so "De que província você é?"!
My portuguese is from Brazil, I hope that can help you!