Lianne must be in the powder room!
It's very easy to create a new category. in the bio section of a profile add a tag like [[Category:Prussia]] and when you save the profile, it will appear as a link near the bottom of the summary text right above the social buttons. At this point the category doesn't technically exist yet, but if you click on the link it will take you to the edit page for the new category. You can enter some descriptive text if you wish, but more importantly, this is where you will link it to other categories. For instance, if you wanted it to appear in the category for Europe, you would add the tag [[Category:Europe]] in the text and hit save. You can nest it under several categories by simply adding the tags to the category text. You can even create more new categories like this, just be sure to edit each new one as well so that they will appear in the hierarchy where you want them.
One more thing, if you want to make a category with multiple words in the name, use a tag like [[Category:My_New_Category]]. Just replace the spaces with underscores.