I guess the scientists would come up with a name. Though 'Mercurians' seem OK
Martian
Venusian
Ioians ioains ions
Caspians
Europans, although they might confuse them with Europeans
People living on Makemake, one of the dwarf planets in the outer solar system, would not have a specific nationality as Makemake does not have an atmosphere capable of supporting human life. It is a frozen world that orbits the sun beyond Pluto.
Moors were medieval Muslim inhabitants of Northwest Africa. This is not a nationality available to living persons. Any attempt to claim "Moorish" as a nationality would be frivolous and unavailing.
Deimos, one of the two TINY moons of Mars, is far too small for anyone to live ON it. If any people ever settle the place, they will burrow inside and live IN it. Their nationality? Depends on who goes there. At the current pace, probably Chinese.
yes you would burn to death if you were living there.
Minnesota is a state in the United States, so its "nationality" would be American.
If you were on Mercury, the Sun would be huge!
i would feel lucky that i am not Polish. Much of how you would feel would depend upon where you were and on your nationality/religion/etc.