Where is Nadja from?

It's obvious she's Swedish based on her accent and English pronunciation.

She is supposed to be Polish, but the actress is from Sweden

At first I thought she was Romanian or from somewhere in the Balkans but the closed captions show she speaks Polish to Lukas right before he kicks her out of his house for doubting his innocence. So I guess she is Polish living in Denmark and cannot speak Danish fluently but can understand a lot of it.

Alexandra Rappaport is from Sweden. Both her parents come from Poland, her mother was Catholic and past away when Alexandra was 9, her father is Jewish. They both broke up from Poland individually, as refugees during WWII, moved to Sweden and met there. Alexandra grew up in Bromma, Stockholm in Sweden.

Nadja is supposed to be Polish, but I don't think that was something that Vinterberg had decided before casting, only that she'd be a migrant worker – an 'incomer' to the closed community. This is what Alexandra said;

"I auditioned in Swedish, but Nadja is an outsider and it required something more distanced. We tried English and Danish, but Thomas Vinterberg thought it sounded idiotic. Then I was fooling around and spoke Polish-English. My parents are from Poland, so I had an idea of how it sounded."