We have words for referring to people from every country. People from Mexico are Mexicans; people from France are French. (Wikipedia calls these words “demonyms” or “gentilics,” but that hasn’t made it into standard dictionaries.) We usually don’t use the same word to refer to them as they do: Mexicans call themselves mexicanos, but we use a word that seems easier for us to pronounce.What about people from Niger (here it is on the map)? They are not to be confused with people from Nigeria, who are Nigerians. People from Niger speak French and call themselves nigeriens (just like Nigerians except changing the final a to an e). But if you look in Merriam-Webster on-line,* the word given is Nigerois. (Nigerois used to be listed in the CIA World Factbook, but it has been changed.)
Nigerois is tricky because not only do we not refer to people as they refer to themselves, we went to the trouble of creating a word that sounds to an English speaker as if it were French. (I asked a French friend, and she said nigerien is clearly right and that nigerois sounds like the name of a small town in rural France.)
Tricky English people with their made-up, French-sounding words!
* To its credit, Merriam-Webster lists both Nigerois and Nigerien.
David Evans' personal blog 
Demonym may not have made it into any standard dictionaries either,like Nigerois, but gentilic is actually in OED.