If you have a full well developed world with the capacity to handle a wide variety of character concepts, then it is the player's responsibility to create a character that fits in the world.
That being said, there are things the GM can do to help accommodate. You can ask what it is about the concept that is so appealing and see if there is something you can do. Obviously a Russian spy doesn't fit in most fantasy campaigns. It would be silly to expect a GM to create Russia just for one player. However, if he wants to play a character like Black Widow, maybe there are things you can do. Work with the rules to see what's there.
If you can't find a way to make the concept fit the world, then another concept is probably needed. I'm also not a fan of creating classes or archetypes for players. There is already so much out there and I have enough work as GM that I don't want to have to create something that is only used by one player, and in this case, one who is going to change things next week anyway.
The only answer to this is "it depends." I certainly have limits to what I'm willing to do with my multi-volume, complex, geopolitically active world just because someone might want to play a half-giant/wyvern with a demon template because "it's just so COOL".
But I do my best to accomodate, within reason.
Generally, if it's something that you can produce with the rules and it's something that concievably has a home in a fantasy world, I'll make it work. I generally hew to these precepts:
- It's probably more important to the campaign that a player be able to play what they want than it is that my world is a place with ZERO ELF ALCHEMISTS.
- A player playing something doesn't mean that that sort of thing is common in the world; it just means that one of that thing could concievably exist.
If a player wanted to play a character that was from Ersatz Russia and I was otherwise okay with the character, the world now has an Ersatz Russia. Creating an Ersatz Russia location might take all of a few minutes. I'm pretty sure I can handle that. Heck, the player can mostly decide what sort of place Koroberskya is, since "Mendev the Spy is from there" is probably the country's primary role in the campaign to begin with.
I'm less warm on homebrewing things for characters, and where I'm willing to do it, I'd prefer to tweak existing material rather than come up with new stuff whole cloth. There are -four- cold-themed sorcerer bloodlines, three of which have wildblooded varients. If a player doesn't like -any- of those, I'd rather start with whichever one is closest and tweak a few things.
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If you have a full well developed world with the capacity to handle a wide variety of character concepts, then it is the player's responsibility to create a character that fits in the world.
I think this is pretty solid advice overall, at least with how my group plays. It's a matter of etiquette that a player is joining a game/world in progress should have some understanding that they need to adapt their character to fit the game and not vice versa.
Another factor is just explaining to that player how their expectations may not fit in with the game. From the PC's point of view, I'd hate to be told my idea is unreasonable or that I'm restricted to being something more normal. With my group, I just recently had to explain to a new player that no, he could not be a Lawful Good Hezrou Demon cleric because that would be ludicrously unbalanced in a group of human characters, and thankfully we worked toward something with which he was comfortable.
Yo how about this dude came in from another plane and can't find his way back. That's what my DM decided to do with my Desert Nomad Rogue that was in a european setting.