The question is what happens on Windows in such cases?
In Windows, if you ask for the GeoID of that locale you do get the region ID for the Caribbeans.
For SetUserGeoID(), Windows only touches the class you want; if you set a region ID, you set the Region key and Nation will keep whatever value it had before (which could be unset) and vice-versa. So no, there is no default value set in SetUserGeoID().
If you don't think this undocumented behavior (implemented in Windows) should come to Wine, we can instead have a fallback nation in the autodetect mechanism. I think leaving it empty is just asking for bugs at this point, considering Windows 10 will lie if it's unset.
(sorry for resend!)