- Donegal's an ally of the County of Hattias, for whatever reason. Maybe he thinks getting them to rebel against Thyatis will help him push his own independence; maybe he's getting support from them against his enemies. In any case, he's in it thick with them. Probability: Medium to Low. The Hattians are bigots and not much politically speaking; they'd make poor allies in this sort of setup.
- Donegal's an ally of Thanatos, in his guise of Count Heinrich Oesterhaus. He dresses in Hattian garb to show his sympathy towards Hattian racism and the Storm Soldiers, and is quietly turning Westrourke into a new Hattias. Probability: Impossible to say. Thanatos does get around, and shouldn't be underestimated, but then again can't be everywhere. (And there have to be better targets than a border territories duke on the opposite end of the Empire...)
- Donegal's an ally of the Heldannic Knights, whose garb is very similar to the Hattian soldiers they descended from. Donegal wears the garb to show solidarity, and it gets mistaken as Hattian uniform by Thyatian guidebook-authors. Probability: Pretty darn high. The Heldannic Knights are right next door, and probably wouldn't mind an alliance. The question is how much help the Knights can provide to Donegal, and whether the alliance gets strained when the Knights move to conquer Oceansend and points north.
- Donegal's working any of the alliances above, but is stringing the other side along rather than working in good faith. Wearing Hattian uniform is merely a ruse; when the time is right, Donegal will abandon his erstwhile partner. Consequences could range from merely annoying (for the Heldannic Knights) to outright devastating (if Donegal pulls the wheel out from under the Storm Soldiers, or a Hattian rebellion). Probability: Impossible to say, but almost certainly lower than the odds of a 'straight' alliance with any given party.
- Donegal's just got a thing for Hattians, as people rather than a culture or nation. He may wear the uniform to boost the morale of a crack unit of Hattian soldiers under his command, or encourage emigration from mainland Thyatis. Probability: Medium to low, it's just less interesting in a campaigning sense than any of the other options.
Any other opinions about this?
At a guess, my initial assumption is that the Hattian Footsoldiers are not exclusively made up of the Hattian people, but are simply the name given to the branch of the Thyatian army that trains in the County of Hattias (similarly, I'd assume that the Kerendan Cavalry isn't made up exclusively of Kerendan people, but are the cavalry forces that train in and around the County of Kerendas, notably at West Reach academy).
Alternative to that, it's possible that- even if the rank and file are exclusively Hattian- their commanders may be of any ethnic background, so long as they have the ability, political clout, and money to earn/cajole/buy themselves a post.
So while he may not be Hattian himself, he could possibly have commanded a Hattian legion at some point, and thus still be proud of his troops- even if they are a racist, elitist bunch of so and so's.
(Further to this, note that Eusebius Torion himself studied at West Reach and was a ranking cavalry officer, despite not being Kerendan).
Looking through the Player's Guide, I see nothing to indicate that the Kerendan or Hattian branches of the armed forces are exclusive to those people, but then again nothing says they aren't either, so I think you could go with whatever theory best fits your campaign.
Something I do find interesting, though, is that Donegal Firestorm is related to Thincol (nephew, as I recall), despite that his name doesn't seem particularly Heldannic (or Thyatian, for that matter). It's more in the Welsh/Irish style of the Westrourke people- which is in keeping with that nation, but it raises some questions of where the relation comes from. An unknown sister or brother of Thincol's that was married off to a Westrourke landowner at some point?