Ok that makes sense, looks like Liga MX is the same deal. In the example you screenshotted, how were those leagues configured? Would it make sense for me to move MLS, Liga MX, etc into a different nation?
Alternatively, I may try editing the team qualification for the stages within the Continental Cups, so instead of pulling from qualified teams (via the Continent "Teams" page), it would pull "X teams from Nation/Competition Y" or something.