demonym (noun)
the term used to describe which country or place a person comes from; for example the demonym of Spain is Spanish
The demonym Afghanistani is sometimes used but the term I mostly hear in news stories to refer to the nationality is Afghan.
(Submitted from United States)
Some demonyms fall more easily from the tongue than others. Spanish, English, Russian, Norwegian: all fine and easy enough to get out. But there are a few that trip me up. OK, here’s one: New Zealand. New Zealander sounds somehow like the person or people in question are only travelling through New Zealand, or are there temporarily; or it sounds like New Zealand is a city they come from, like being a New Yorker or a Johannesburger. Also, the term just doesn’t flow easily in an introduction: ‘This is Tom. He’s … he’s from … he’s a New Zealander. And this is Mary. She’s Scots … Scottish … she’s from Scotland’. (So Scotland is another one.) I know there’s Kiwi but that just can’t be right. Can you think of any more that seem strange to you?

I don’t personally find anything unusual about “New Zealander” or “Scottish”. Ones that seem or sound odd to me are typically -ite ones, like “New Jerseyite” or “Seattleite”.
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Liverpuddlian, Mancusian (for Manchester)