It gets confusing when talking to Americans about the Spanish. Once I was told an American guy that I the girl was seeing was Spanish and he asks me, "Oh where is she from?"
Or if I say, "I have some Spanish friends. I can bring them to the party." Americans will ask, "Which countries are they from?"
Of if I may hear some guy say he met a sexy Spanish girl, but it turns out she's Dominican or Colombian or something.
It's obviously Spain. Spanish in terms of nationality = from Spain.
We don't say Canadians, Saffas, Aussies, Kiwis, and Americans are English because they speak English. If you hear someone is English, nobody would ask which country he is from; they just assume he's from England.
I can imagine how confusing it must be for Spanish people to tell Americans that they are Spanish and Americans ask them which country they are from.
Spanish people are from Spain.