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Women who identify with Islam in the United States come from many different race, class, and cultural communities. They are also more likely to be first or second-generation immigrants. This combination of different marginal identities (religious affiliation, gender, immigration status, and race) exposes Muslim-American women to unique online privacy risks and consequences. We conducted 21 semi-structured interviews to understand how Muslim-American women perceive digital privacy risks related to three contexts: government surveillance, Islamophobia, and social surveillance. We find that privacy concerns held by Muslim-American women unfolded with respect to three dimensions of identity: as a result of their identity as Muslim-Americans broadly (eg, Islamophobic online harassment), as Muslim-American women more specifically (eg, reputational harms within one's cultural community for posting taboo content), and as a product of their own individual practices of Islam (eg, constructing female-only spaces to share photos of oneself without a hijab). We discuss how these intersectional privacy concerns add to and expand on existing pro-privacy design principles, and lessons learned from our participants' privacy-protective strategies for improving the digital experiences of this community.