Technically, they are all Egyptians. But the inhabitants are practically all members of more than 10 Bedouin tribes and these would all describe themselves as either Hwetats, Allegets, Sawarkahs, etcetera.
Onash Sinaiez
you call it oxforders
Maltese
Californians
scorpians and lizards
People who live in Germany are called Germans
I imagine lots of people do it around the UK that live near towns, for instance I live near enough birmingham for people to call it town, and my cousins who live near Manchester and call that town too.
All three phrasings are correct, but they may have slight differences in use and connotation. "What do you call" is more common for asking about the name or title of something, while "How do you call" can be used in a similar way but might suggest a method or process of naming. Both can be suitable when asking about the name of people in France.
the alabogians
guyanese people
Iraqagains and Iraqeargains
Mexicans