The first space nation today, AIRC,

Aerospace International Research Center, AIRC 

If you are 18 or over and have an email address, you can apply to become a 'citizen' of Asgardia today. At the time of this writing, more than 4,900 people have signed up, including at least one Popular Science editor.
“When the number of those applications goes above 100,000 we can officially apply to the UN for the status of state,” said Ashurbeyli, adding that Asgardians would not have to give up citizenship in their countries of origin.

UN The first nation in space,

But can Asgardia legitimately call itself its own nation?
Frans von der Dunk, who studies space law at the University of Nebraska, suspects the word “nation” was chosen for a reason. In international law, a “nation” refers to populations that are under special regulations but don't necessarily form an independent country America's Indian Nation is a good example of this. It's more of a philosophical and cultural designation than a legal one.
The project is still in its early stages, but the team behind it is hoping that the publicity it gathers now will attract talent willing to work on making Asgardia a reality. That talent can be anyone, as Asgardia has opened citizenship up for everyone on Earth, but what does being part of this nation mean?

Basically, Asgardians will remain physically on Earth, but also become a citizen of this new space nation, which the founders hope will one day join the United Nations. Eventually, those citizens could travel to the space nation.
Details regarding the feasibility of this audacious plan are vague. No clarifications have been made on whether or not current space laws would allow for a country to declare itself as an autonomous, sovereign entity in space. Similarly, technical details, logistics, and funding on the project have not been detailed, but the project does bring up important questions about how space colonization should be handled in the future.