Keep that blank clean. No religious flaming.
What I mean is this: inhabitants of America are Americans, inhabitants of Ohio are Ohioans, and inhabitants of Cincinnati are Cincinnatians. But what demonym would you use or have you seen used to refer to a resident of Vatican City? This site doesn't have one in its list, and the example for Sioux City, Iowa, found on this Wikipedia page would seem to suggest that maybe it's Vatican Citian, which just sounds awful.
Maybe it's one of those places that has never had a demonym. After all, "demon" does appear in the word…