You'll need to find out whether you legally hold citizenship of the country you were born in, and if you do, then you will need to list that nationality as well. And if it asks you to list passport details, just say that you don't hold a passport for that country.
Just because you haven't held a passport for that country, doesn't necessarily mean you are not a citizen of that country (for example, only 36% of US citizens hold a US passport, but that doesn't mean they aren't US citizens, it just means they haven't applied for a travel document).