We really don't know with absolute certainty the nationality of the protagonist in Jean Rhys' 1938 novel Good Morning, Midnight. We know that Rhys was born to Welsh father and a Creole mother from the Caribbean island of Dominica. We also know that Rhys lived much of her life in Great Britain, but traveled widely across Europe -- all characteristic of Sasha Jansen. We also know that "Sasha" is traditionally a Russian name, specifically, the diminutive of the formal names Alexandra and Alexander (in other words, it can be either feminine or masculine). Yet, despite the Russian genesis of her name, Sasha is not Russian, and is not even the character's real name, just as Jean Rhys was the pen-name of Ella Gwendolyn Rees Williams. That Sasha is not of Russian origins is further suggested by the following passage from Good Morning, Midnight, in which Rhys' protagonist describes the origins of her adopted moniker:
"Was it in 1923 or 1924 that we lived round the corner, in the Rue Victor-Cousin, and Enno bought me that Cossack cap and the imitation astrakhan coat? It was then that I started calling myself Sasha. I thought it might change my luck if I changed my name. Did it bring me any luck, I wonder, calling myself Sasha?"
Throughout the novel, Sasha references England as her home, as when she states that, following years spent living in Paris, she then "went back to England." If one accepts, as seems logical, that Rhys' protagonists across the breadth of her literature are inspired by her own life, then anything is possible with regard to Sasha's nationality. What seems safe, however, is that she is of mixed heritage, just like Rhys herself, and that she felt comfortable assuming whatever identity suited her at the time.