You are born the way you are. the only way to change nationality is to do it the legal way and move over to another country and apply for citizenship.
If you where thinking of any other way, eg changing your appearance, there isnt any way. sorry
Countries have things called Citizenships where you apply to have your passport and things from their country. You get made a full citizen of that country. different countries have different rules about it and some even take years to get and/or tests to get it.