Why is -o- used to connect demographic entities?
Solution 1:
An -o- is commonly used as a connecting vowel in Greek compound words. Since Greek has been an influential source of terms in many European languages, from Latin to English, this connecting -o- also shows up in a fair number of English words.
I don't know the details of why or in what circumstances connecting -o- was used in Greek. Merriam-Webster says it originated from the thematic vowel of nouns and adjectives.