@lxo That's tough, because we're "the United States of America", Mexico is the "Mexican United States", Canada is "the Dominion of Canada",and I think Brazil used to be the "United States of Brazil" before it became "Federative Republic of Brazil". In each case, there is a place name in the country name, from which the demonym is derived.

So I find myself calling myself "American" or "US ian" (pronounced "you-essian") and finding neither satisfactory.