The names of nationalities are difficult to classify as is the case with geographical locations. The usage changes and often depends on what people of that country call themselves. You can explain this to your students and tell them that there are no hard and fast rules.
It will help students if they learn the words in blocks. For example, all the words that end in "ian" can be learnt together (Argentinian, Italian, Tunisian). You could encourage students to have a section in their notebooks for these words. They can then add any new nationality words they come across. Make sure they use capital letters, as this might not be the case in their own language. Remember to focus on the pronunciation and stress. This is an area where misunderstanding can occur if they are communicating with a native English speaker. If they persist in using the word as it is pronounced in their own language, that is.