In the relationship editor, add related work, then add a new work and click on “add relationship” (in the create new work dialogue). The selected entity type is “area”, but since national anthems aren’t that common, you usually have to change the type to something else.

If you add a relationship to a work from the first level of the relationship editor, the entity type defaults to “artist”. I think that default makes a lot more sense, so it would be useful to have the same default in the situation described above.