A nationality is a collective endeavour -- it's the people of a country moving the country forward together (each according to his ideas of course). Even by paying taxes and cleaning some beach of garbage, or building a business in your country, you're DOING something.
And people do much more than that, from political action to take down a dictatorship to fighting to keep the nazis out, to tons of other things.
Plus, you don't have to "earn" something to feel pride about it. It just means you love it, and you want the best for it. Do people feel pride about their brothers and sisters? I know I do.