Well of course Wales is a country, but it is also the name of a village in Yorkshire. It is in the heart of coal-mining country. You can see from the map above, from FamilySearch England Jurisdictions 1851 that it also close to the county boundaries with Derbyshire and Nottinghamshire. It is part of the Registration District of Worksop, which is in Nottinghamshire, but includes parishes from all three counties.
If you have ancestors in this area they are very likely to have connections with the mining industry, and you may find that earlier generations had migrated from other coal-mining areas such as Northumberland and Durham, the West Midlands or South Wales (the country this time!). There are also two excellent local websites one of them devoted to Kiveton and Wales and another covering a wider area called J31.co.uk. The reason for the odd title of this site is that it covers the area around Junction 31 of the M1 motorway. If you have coal-mining ancestors from further afield you should still find much to interest you here.