Nepali-English code-switching (CS) has been a growing phenomenon in Nepalese society, especially in social media. The code-switching text can be leveraged to understand the socio-linguistic behaviours of the multilingual speakers. Existing studies have attempted to identify the language preference of the multilingual speakers for expressing different emotions using text in different language pairs. In this work, we aim to study the language preference of multilingual Nepali-English CS speakers while expressing sentiment in social media. We create a novel dataset for sentiment analysis using the public Nepali-English code-switched comments in YouTube. After performing the statistical study on the dataset, we find that the proportion of use of Nepali language is higher in negative comments when compared with positive comments, hence concluding the preference for using native language while expressing negative sentiment. Machine learning and transformer-based models are used as the baseline models for the dataset for sentiment classification. The dataset is released publicly.