Nokia has confirmed in a recent FAQ session that the Nokia Connects tethering would be coming to all the Nokia Lumia devices soon. The new tethering support would be bundled in the next update to the Nokia Lumia 610, 710, 800 and 900 devices. The update is also expected to fix a lot of major bugs that Nokia Lumia currently facing, like the call ending issue. The FAQ session primarily focused on the Nokia Lumia 900 devices but then, the company let this information out.
Nokia Connects is the name that Nokia has given to enabled internet to be tethered to your computer or any other device. The Nokia Connects will be available for all the regions across the world, so this update would be device specific and not country specific, as HTC did last time. The Nokia Connects would support both WiFi and USB tethering.
Source: All About Windows Phone