These are demonymic adjectives, sometimes also called gentilic adjectives (there isn't much difference between the two terms other than that the first is Greek, and the second Latin).
The corresponding nouns are demonyms.
In many cases the demonym is derived from the name of a country in one of a handful of ways (e.g. -ian in Canadian, -ic in Icelandic, -ese in Chinese, etc). In some others the country name is derived from the noun for a person of that ethnicity/nationality instead (e.g. Finland < Finn, Germany < German, Czechia < Czech). In the former case the noun for a person of that ethnicity/nationality is usually identical to the adjective (although in some cases using it is perceived as offensive), whereas in the latter case it is used to derive the adjective (e.g. Finnish < Finn, English < England, Polish < Pole).
In some cases there are also two competing adjectives (which may potentially also be used as nouns), with one derived from the demonym and one from the country name (e.g. Slovene vs Slovenian, Slovak vs Slovakian, Serb vs Serbian). In these cases the former usually describes ethnic identity, whilst the latter usually describes nationality or residence (e.g. a Slovenian Serb is an ethnic Serb with Slovenian nationality or residence).