If you provide official ID and your username in a picture to accounts@ppy.sh, they will change your flag to your country of residence. Although you may want to keep that just because you can
Well, osu! gets your location from your IP address. So if you ISP is near Korea, that might be why. If you're using a VPN set to Korea that could be it too. If Korea isn't where you live, follow the instructions above to change your flag.