I think it's a bad concept that one should ever feel embarrassed for living in one country or another. Neither should you feel pride.

The culture, government, wealth and power (or lack thereof) of a person's country are all beyond that person's control or influence, and are all just accidents born of geographical and political history.

Just try to do your best to do good within your sphere of influence. That's all you can ask of yourself, and all anyone can ask of you.