Fluellen (from Wales), Jamy (from Scotland), and MacMorris (from Ireland) are all Captains in King Henry's army. We know what you're thinking: Why the heck have we grouped these guys into one category?
Remember when the Chorus told us that the stage was too small to hold thousands of British troops and that we'd have to use our imaginations and "into a thousand parts divide one man"? Well, when we meet the Welsh Captain Fluellen, the Irish Captain MacMorris, and the Scottish Captain Jamy, we do just that. Each of these men are Captains in King Henry's army and, since it's inconvenient for Shakespeare to load his stage with dozens and dozens of soldiers, these three Captains represent the men from each of their countries. (This is why Shakespeare gives each of the three Captains a thick and distinctive accent that sounds a little ridiculous.)