Speculations on Pip's nationality have varied as wildly as those on Integral's father's name. (It's Arthur, by the way.) American? Australian? He's far too uncouth to be British, and far too Caucasian to be anything very exotic. So originally he was usually pegged as a Yankee or an Aussie.
As it turns out, he's a frog. ("Ah, ces français fou" = "Oh, those crazy French.")
Hirano mentions Pip's nationality in the liner notes of volume six, explaining that, because he's French, Pip likes women with large breasts. (Gee, who could that refer to?)
Even before this release, though, Pip's ancestry could be inferred from the corresponding character in Hirano's pre-Hellsing hentai manga Coyote. It's a WWII-era tale involving a group of mercenaries who join the French Resistance against the Nazi occupation. Leading the antagonists is a younger, thinner Major Montana Max; leading the mercenaries, an orange-haired rogue named Pip.
Although Coyote isn't Hellsing canon, elements from it can be seen in the main series. The Nazi escape to South America after Hellsing: The Dawn was rehearsed in Coyote; and our Pip's grandfather explains to his young grandson that the family has a tradition of being mercenaries, opening up the possibility for similar events in his backstory.
The Dark Horse release of the manga in English gives Pip's dialog a combination of British slang and a French accent. It works out. The release is inconsistent on his last name, though. For the record, it's Bernadotte.
This brings another nationality into Pip's background: Bernadotte is the surname of the Swedish royal house, founded by one of Napoleon's generals. Pip's connection with Sweden has yet to be elaborated on. One interesting note: the current princess of Sweden is named Victoria Bernadotte. Foreshadowing? (Victoria Bernadotte is currently 189th in line for the British throne, but to draw anything from that is probably going too far.)