"Unflagged Merchants in a shipping lane assume the nationality of the shipping lane." (9.21)
Where does it say what the nationality if the shipping lane is?
If you have a second edition copy, the nationality of the shipping lane is shown by a flag in the hex.
Otherwise, you should look what the nationality of the closest port is. There are some shipping lanes with equidistant ports of different nationalities but the distribution of shipping lane nationalities looks logical to me in those instances. Check the images of the second edition board (most easily recognised by the dotted line demarcating the Atlantic from the Caribbean) here.