ann does list the hyphenated version as an alternate spelling, but so is the "Tengen Toppa" part--they just call it "Gurren Lagann (TV)". For romanized Japanese, both ways are listed:
Tengen Toppa Gurren Lagann (Japanese)
Tengen Toppa Gurren-Lagann (Japanese)
The hyphenated version appears to come from the cancelled ADV version:
Tengen Toppa Gurren-Lagann (Cancelled ADV Release) (DVD 1) 2008-08-26
So if we were going to change it, which title would be comfortable? Admittedly I haven't looked it up on any other English sites so that's all I have to go on.