You are
The four directions:
ONE - North
TWO - West
THREE - East
FOUR - South
The questions:
1st Q. Regarding your nationality, are you British or Italian?
Britain is North-West to Italy
2nd Q. This is rather vague, but where do you go?
Go west means to die (go down = be buried)
Go south = go bad
But this probably is related to the position of the sun (East - rising, West - setting, South - changing direction)
3rd Q. Do you guys share a habit? If so, what is it?
All end with "ern" when speaking of directions: northern, eastern etc.
4th Q. What do you do on a daily basis?
NorthThe world spins on the poles (North and South Pole) and as the world spins, West and East could be viewed as chasing each other.
5th Q. What's your favourite number? The numbers used in your nicknames don't matter here.
Directions on the clock
6th Q. You guys collaborate with each other all the time, right?
Mixed directions like NE, NEE etc. There is never something like EEN or NS.