Ser Criston Cole is a Stormlander. House Cole is a vassal house to House Dondarrion. House Dondarrion is an enemy of Dorne.
Show:
"What do you know about this Ser Criston Cole, Ser Harrold?"
"I'm told Ser Criston is common-born, son of Lord Dondarrion's steward."
Then when he removes his helm:
"Gods. He's Dornish."
That does not make sense.