df = pd.DataFrame({'Nation':['Uw','A', 'Ur'],
'A':[2,3,5],
'Z':[4,5,6]})
df = df.set_index(['Nation'])
df[df.index.str.startswith('U')]
#If need select by level of MultiIndex use get_level_values:
df = df.set_index(['Nation', 'A'])
(
df[df.index.get_level_values('Nation')
.str.startswith('U')]
)