I think people misunderstand, in one way the tests, and two the ethnicity estimates. All the commercial tests such as 23andme, Ancestry, MyHeritage do not sequence your entire genome (known as Whole Genome Sequencing), they analyse maybe under 1% of your overall DNA. Bear in mind that we share about 99% of our DNA with chimpanzees, 98% with gorillas, about 80-90% with cats and dogs and other mammals, and 60% with bananas!!
These commercial tests analyse particular parts of our DNA where different human populations are known to differ, and that can indicate relationship closeness between one human being and another. Certain sequences of SNPs, segments can be indicative of being part of a certain population, so it can indicate that you have a connection to that population. So whilst it is true that there is no such thing as Welsh DNA or Scottish DNA etc. It is true that there are certain SNPs and segments that are most commonly or uniquely found in those populations, and if you have them, that would indicate you have a genetic connection to that population.
As regards, Ancestry's ability to detect Welshness, I have found that around 2021, their algorithm significantly improved and someone who I know is around 40% Welsh ancestrally was almost exactly detected as this on Ancestry's estimate.