"He is Chinese."
Translation:Yeye ni Mchina.
So, what's the difference between the capital letter nationalities and the lowercase?
The same as the difference between Chinese and chinese. Mchina (capitalised) is correct to my knowledge.
When do I add the double m?
You don't "add" a double m to anything. It just happens naturally in the word Mmarekani because Marekani (one m) refers to the US and m- is added to the beginning. So China + m = Mchina; Tanzania + m = Mtanzania; and Marekani + m = Mmarekani. Like how in the word "unnamed" there are two n's.