The correct answers are:
"Me llamo Natalia Cruz. Mi nacionalidad es mexicana".
Or, "Me llamo Natalia Cruz. Soy mexicana".
Explanation:
Daniela is asking two things: her teacher's name and nationality. And she is asking directly to the teacher herself, so the answers must be in the first person singular.
The teacher already answered about her name correctly. Now, the second question (What is your nationality?), has two possible answers:
1)"My nationality is mexican" ("Mi nacionalidad es mexicana"), in which you answer the question exactly as they asked you, so you use the respective possessive pronoun: My ("Mi") + the noun: nationality ("nacionalidad") + the verb to be conjugated suitably to the noun that is in the third person singular: is ("es") + nationality itself, in this case mexican ("mexicana").
2)"I'm mexican" ("Soy mexicana"), in which you answer the question assuming that nationality is something you are as an adjective and not as a noun, so you conjugate the verb to be respectively, in this case first person singular: I'm ("Soy") + nationality itself, in this case mexican "mexicana". Remember that in Spanish personal pronouns (I, you, he, she, it, they) could be removed without affecting grammar.
Both options are correct, but the most used way to refer to the nationality is the second option: "Soy mexicana" as it is considered normally as something that you are more than something you have, as first option assumes. Either way, both are correct.
