And Katusha, and Astana and Leopard-Trek and Radioshack (and now Pure Black and Green Edge), plus all the French teams, which strongly self-identify as French. It's almost the norm for teams to be nationally-based.
Yes and no. Katusha, Astana and Leopard etc are all national teams in the sense that they have strong affiliations to the nationalities of the riders/sponsors, like Sky but they remain very much commercial enterprises. Teams have always been like that, with a few exceptions (Merckx's Italian teams, for example)
Euskaltel are a slightly different (and regional) proposition. They don't strongly identify with a country or region. They represent a region and, rightly or wrongly, are also a part of a very complex political landscape.
They are funded by local sponsors, the largest of which being Euskaltel but funding is not solely from them. Fans subscribe to the team and there is Basque Cycling Foundation which promotes cycling in the region (as if it were needed!). They are also, in that curious Basque tradition, a team that is made up solely of riders from the 5 provinces and Navarra. Even their kit is predominantly Basque, their bikes are Orbea and for a long time they used Etxe-Ondo clothing (though they now use MOA/ Nalini).