I have searched for a protocol about the playing of the Star Spangled Banner (The National Anthem) when there is more than one country involved, and have been unsuccessful.
Question;
When there are citizens from the U.S. and Canada at a public event in the U.S. ---which Anthem is played first?

The anthem for the country hosting the event is played last.

FAQ - nationalanthems.info

EDIT was to correct my hasty typing and to add the link.

I agree with Synnen.

Think about a baseball game.

Toronto Blue Jays at New York Yankees.

The Canadian anthem is played first, followed by the American one.

As Synnen said, the host countries anthem is always played last.