I am a proud Luxemburger. I am studying and living in Belgium and the GMs did not believe me I am a Luxemburger.
That's terrible, have you tried contacting them and sending some sort of proof of your nationality? Maybe the scanning of a document, or maybe you could try logging in the next time you're on Luxembourg so they can verify it by IP address...
Just some suggestions, it's a shame you can't play on your country's league.
Good luck!