Yes, actually. It'd be nice to have an idea of how each country is doing, especially since the magical girls are recruited internationally. Obviously racism and nationalism have to be downplayed lest we attract the toadhammer, but it should still be a factor in interaction. How would a Jewish magical girl feel about working with a German one, for example.
Well, I suppose that depends on how you want to go about it, then. I'd personally just grab something interesting about each nation/ethnicity/culture/war status and never stop running with it while wearing an alien jetpack. Wolfenstein Germans, radioactive ghoul Japanese, vengeful hivemind/mind-melded Chinese, Atomic Super Man Americans, not-sure-but-it's-not-natural Russians that don't mind the cold as much as they ought to, and so on.
If you're looking for something a little more low-key than that, you'd probably want to figure out what you want the world as a whole to look like. Relaxed or tense, split into big teams or every man for himself, grim or cheerful, tech everywhere or mainly just in the giant death robots, everyone doing roughly the same or massive differences between countries, and so on.
It would probably be a bad idea to recruit from both sides of the war if it is still ongoing, tactic wise. Its generally hard to work with someone who exploded someone on your side. They would probably have to end up with small teams that don't absolutely hate each other. Are the rest of the Axis and Allied nations in the same situation they where in real life?
Well we can probably wave it as Purity just recruiting more neutral-aligned civilians. Not to mention they're kinda saving mankind.
Its kind of hard to find neutral-aligned civilians in a total war, when millions of bodies are buried everyone knows someone who died. Even without it, nobody speaks the same language, making inter-country alliances difficult (of course, that part is easy to remove with magic :p). Even when saving mankind, people work better with people they wouldn't murderlize under different conditions.
Individual agents working for an alien claiming to be benefiting all mankind probably wouldn't be as concerned about that as your average "kill em all before they kill us" or "they killed Joe I'll never forgive them for killing Joe" type fellows, whether because they're above that or because boss says they got more important work to do. Plus it's an alien, it might or might not be all that sensitive to the specific feelings one monkey has for members of a slightly different breed of monkey.