The devs already added a Country-Tag for modded airlines with the intention that it might be used somewhen to generate a more realistic routes. We all hope, that it would be somewhen used. 
Regarding St. Helena, that airport seems to be missing in the Airport list. That’s why the island might be recognized as a different country.
Ingame in the dashboard, click on your CEO’s picture to get some additional information about your airport location, can you post that as screenshot here?
Later I can collect some data for Saint Helena Airport so that you can add it in the airport list manually.
/Edit yes, Country SH is available but no airport is in the list. I will add it to my list later.
/Edit 2… it’s now already in the list