Assuming you want to change from one nation to another nation without having been allied to that nation once before.
- Do the following quest skipping the first step, the Recommendation Letter part of it.
Assuming you want to change back to a previous nation you have been allied with
- Go talk to the military leaders of the corresponding nation
- For example Speak with Mhoti Pyiahrs in Windurst Waters (S) at (H-10) on the northern map.
If you don't know the leaders then talk to the people behind the counters.