Depending on how well you know this co-worker...it could have just been a generalized statement that she made out of frustration...not a truly thought-out sentiment of harbored ill-favour towards the Welsh. I live in the south (America) but we have A LOT of people in my area from up north. If someone is being rude, stuckup or just "difficult" (in general) AND it just so happens they are from the North, it would not be uncommon to hear one of the "locals" make a comment like "Oh well, he/she is from New York...what do you expect from those people?" Even if the person making that comment has no *actual* problem with people from the north. Another example would be when men make comments about female drivers like, "Go figure, it's a woman driver. Everyone knows women can't drive." Or if someone driving slow in front of you just so happens to be old...you might hear, "Get up the road granny. Old people shouldn't be allowed to drive anyway." (*Not saying it's OK to make those statements, just saying it happens all the time*)
It seems that if you are truly angry, upset or aggravated with someone, it's easy to make stereotypical generalizations about that person...even if you don't truly believe those things. Not many people in this world can say that they've NEVER said something they didn't mean when angry (whether about a complete stranger or your closest friend or family member).
It could have just been a statement made out of anger...or like Vicky said, a poor joke.
Then again, maybe she really is prejudiced against the Welsh.
Regardless of her intention behind it, I do agree that it was very unprofessional in a work atmosphere. You've made it known to her that you don't appreciate those type of comments (or were even offended by them) so she should be more conscious of what she's saying in the future. I wouldn't report her unless you see this as a continued pattern.