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There's a running joke in Knives Out where the family members say Marta is from various South American countries: Brazil, Uruguay, Ecuador, Colombia, and maybe several more.
The actor is Cuban, but that's obviously irrelevant to the fictional universe the story is set in. Are there any actual hints beyond the running ignorance of the family members that might suggest where she's from?
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)
The key irony to the entire running gag about Marta's nationality is that she is as American as any of the Thrombeys. Note that when Walt Thrombey goes to Marta's apartment to subtly threaten Marta, it is her mother's illegal status that he mentions, not Marta's or Marta's sister's. From this we can infer that Marta and her sister were most likely born in the United States and therefore are from the United States.
It is possible that Marta and her sister immigrated illegally with their mother and obtained legal status, but this would have been exceedingly difficult from an illegal status. Her sister is depicted as younger than her and may be under 18, which is before you can become naturalized.
Marta's mother is an illegal immigrant. Assuming that Marta is in her mid-20s and the film is set in the year it was released, the mother would have immigrated to the US by the early 1990s to have Marta. During the 1970-2004 time frame, Mexican immigration to the US grew very rapidly and it was only very recently (2017) that immigrants from other (besides Mexico) latin American countries combined exceeded the number of Mexican immigrants annually. While we do not know from the content of the film where Marta's mother came from, the time frame would suggest Mexico as the most likely answer.
