"but my two sons are Welsh because they were born here."

Ooh .. contentious issue. European Law now states that you cannot claim to belong to a nation just because you were born in a particular country. This is obviously an anti-immigration thing - doncha just love politicians! It has been done to stop people arriving in the chosen country, giving birth and saying that their child is now 'this nationality' and has the right to stay and so the parent has to stay too ...

Mind you. There is no such thing as Welsh. Nor English. Nor Scottish. You are a subject of HM and a resident of The United Kingdom and Northern Ireland ... check your passport :-(