The characters in the story are rural and not overly-familiar with the outside world. They exhibit a sense that might be termed xenophobia if it were more overt and hostile, but instead it is simply amiable ignorance; they are not concerned with other places and countries and so see nothing wrong with assumption. Referring to the "angel" as a Norwegian is simply their way of explaining his foreign language and his seeming affinity with the ocean, as he has a "strong sailor's voice."
...they skipped over the inconvenience of the wings and quite intelligently concluded that he was a lonely castaway from some foreign ship wrecked by the storm.[...]
[Rome] spent their time finding out... whether he wasn't just a Norwegian with wings.
(Márquez, "A Very Old Man with Enormous Wings," salvoblue.homestead.com)
The easiest method of crossing the seas at the time was by boat, and the people of Norway are legendary for their oceanic and sailing skills. To the rural citizens of the story, a Norwegian is almost as foreign as an angel, so they assign an easy nationality to him and leave it at that. It is not a term of insult or derision, but seems rather to be a term of convenience. In addition, the Vatican seems determined to disprove the angel's status as spiritual, and so the assignment of a nationality is one more Earthly status to confirm his being simply a strange human (as the spider-woman seems to be in turn).