Another example and perhaps a clarification:
Long before the creation of the State of Israel in 1948, the Nation of Israel consisted of Jews separated geographically around the world, though united in identity.
Taltos' explanation is right on the money, but the example of Yugoslavia is a little confusing because many of the nations in greater Yugoslavia went on to get their own states. Also, I would not consider Kosovo a nation but rather a political unit dominated by members of a greater Albanian nation.
As Taltos alludes to, nations of people are not necessarily circumscribed neatly in state boundaries: a circumstance that is responsible for a lot of war and conflict. In this respect, the former Yugoslavia, Kosovo, and now Macedonia are excellent examples.