It was deliberately made vague which country Marta is from to keep people guessing all the time. Keeping it a mystery highlights the Thrombeys' ignorance of where Marta is from. According to Ana de Armas, who played Marta, Marta was just described as "Latina" with no indication of which country she was from. Marta's country of origin was also not specified in the script.
Ana de Armas: Well, at first, I just got a - you know, a single page with a very small description and just one scene so I couldn't really see what it was about. And the description - I didn't like it because it was something like caretaker, Latina, pretty. And to me, those three words didn't mean anything because it usually - we are represented as that, the help or the criminal or someone like that. And so I insisted a lot - there was a little back-and-forth with the producers and asking for the script.
- Why Ana De Armas Was Hesitant To Take A Role In 'Knives Out'. NPR (emphasis mine)
Ana de Armas suggested the idea of the "running joke in which various Thrombeys incorrectly state the country she’s from."
Onscreen, da Armas inhabits Marta as she is first infantilized, then villainized, then becomes the hero; she rises to the challenge in both forming an equal partnership with the man who plays James Bond (Craig) and fiercely battling the man who plays Captain America (Evans). Offscreen, she even was given some creative license: She says that the running joke in which various Thrombeys incorrectly state the country she’s from—is it Ecuador, Paraguay, Uruguay or Brazil?—was punched up on her suggestion. “It’s so brilliant and true: people try to guess all the time where I’m from,” she said.
- "Inside the Creation of Knives Out, One of the Most Unexpectedly Subversive Films of the Year" — Time (emphasis mine)