The Heian Period of Japanese history, which Nue's title, the Heian Alien, references, was from 794 to 1185. If Nue was created during the Heain period in Japan, she is Japanese. If she existed before that, she could be anything.
The Great Hakurei Barrier was created in 1855, far after the Heian Period, meaning there is zero chance she is a Gensokyo native.
Does this narrow the possibilities? If you desire, I will refine my answer.