It depends on how these objects are created and at what moment do you need to pin them.
Do you put them on the layout in editor? Or are they created in runtime?
If you have instance variables on both Nations and Cities families that cal help to link them together (say, Nations.Name="France" and Cities.NationName="France") then it's easy:
Nations Compare instance variable Name=Cities.NationName -> Cities pin to Nations
If the only way to identify each pair is their order of creation, you can do something like this:
System-> For x=0 to Cities.count-1
System -> Pick Nth instance of Cities instance=loopindex
System -> Pick Nth instance of Nations instance=loopindex : Cities Pin to Nations