Examples of irrational real values x & y are:
$a \sqrt{c}$ & $b \sqrt{c}$ where a, b are rational integers with $a^2 + b^2 = c$, e.g. $\sqrt{5}$ & $2 \sqrt{5}$
$\sqrt{a^2 + b} - \sqrt{b}$ & $\sqrt{a^2 + b} + \sqrt{b}$, e.g. $\sqrt{7} - \sqrt{3}$ & $\sqrt{7} + \sqrt{3}$
If the requirement for $x^2 + y^2$ to be a perfect square is artificial or contrived then feel free to discuss the apparently more general case where it can be any rational integer, especially if this leads to a more natural and satisfactory classification.
Thinking about the problem, I would have guessed that cyclotomic integers might be involved, were it not for the fact that non-trivial cyclotomic integers are complex, whereas for this question $x$ & $y$ must both be real. But since $x^2 + y^2 = (x - i y)(x + i y)$ it may be that, as some famous mathematician once asserted, the route to the real domain lies through the complex domain!
(As people have remarked in other problems similar to this, I have an uneasy feeling I have overlooked some obvious observation that makes the problem trivial! )