Actually a few of rthem have Japanese 'features', but its true that none of them look Asian, unless you're looking at the Amano art, and even then most of them have blonde hair.

That's just how Japanese art is, anyway. Ever notice how no one in anime 'looks' Japanese? It's just the art style, and as Black Mage said, the style is sort of 'Universal' in a way. Of course, it is weird that as different as the FF universe is, there's rarely any Asians, and I've never seen black or Hispanic people. Eh *shrug*.