Gibraltarian is the demonym of Gibraltar.
The demonym for Philippines is Filipino.
The demonym for Hemel Hempstead is "Hempsteadian."
The name for the people - demonym - of Afghanistan is Afghan.
The name for the people - demonym - of Albania is Albanian.
The demonym may be Geelongian or Geelongite.
Yes, Russian can be a proper adjective for things and people from Russia. But it can also be a proper noun (demonym) for a person from Russia (one Russian, two Russians).
Brazilian.
Singaporean
Belgian
Cuban
Filipino