How can I save id , nationality, religion columns

Don't mix id's in a single column - if you do, then it gets difficult (if not impossible) to work out from the row what the id refers to.
Instead, have a nationalityId and a religionId and keep them separate (If you were using a DB, then these would be separate tables:
Nationalities

Id     Name
1      American
2      Jordanian

Religions

Id     Name
1      Christian
2      Jedi
3      Pastafarian

You then have a third table (which you use to provide the links:
Users

Id     Nationality   Religion  Name
1      1             1         Joe
2      1             2         Luke
3      2             1         Amir
4      ...

This is because you need to normalize the databases[^], so that later you can fetch and update the data efficiently.

If you are using classes in VB to represent this, then you would create three classes, and use references in the third to link you to the actual data instances for Nationality and Religion. If you override ToString in the Nationality and Religion classes, the DGV will display the right data for you automatically.