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Is there any rule for hyphenating nationalities? • Irish-American, African-American, European-American • Irish American, African American, European American

For instance, in cases where place of origin/birth and place of living are different.

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    All of the ones you quote seem to belong to America. In Ireland you might hear talk of "the American Irish", and I have, in the Far East, certainly heard people talk about the "American Chinese". No doubt the same applies in Italy. None of the American terms seem to apply to Britain, perhaps because there is some sort of underlying assumption that America's default ethnicity is British – WS2 Jun 8 '17 at 13:06
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    The fundamental problem with the question is that those aren't nationalities. They are a combination of something like 'region of pre-migration-origin' and current nationality. 'Africa' isn't a nation, Europe isn't a nation and nor, come to that is ireland, since it comes in two flavours. – Spagirl Jun 8 '17 at 15:19
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Are you following a style guide? This might be one of the things they dictate. Otherwise, you can use the rule from one that does mention a rule for this, such as Chicago:

Open [i.e. non-hyphenated] in both noun and adjective forms, unless the first term is a prefix

Examples:
African Americans
African American president
a Chinese American
French Canadians
South Asian Americans
the Scotch Irish

None of these examples, nor yours have a prefix. However, "Afro" in "Afro-American" is considered a prefix and is hyphenated.

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    Chicago also mentions hyphenation is diminishing as time goes on due to readability. However, when their might be confusion, err on the side of hyphenation such as European-Asian fusion cuisine – Stu W Jun 8 '17 at 14:05

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