This is much more difficult for the British, who have Liverpudlians and Glaswegians. In America, if you have to guess:
If the place name ends in a vowel, change it to -an. New Mexican, Nebraskan.
If it ends in a consonant, add -ian. Oregonian, Bostonian.
These rules will be right about half the time.

You have to learn the exceptions one by one and memorize them. Hawaiian, Torontonian, Floridian, Texan.
Then there are the forms that are completely out of the model. Muscovite, Argentine, Balinese. Many are simply proper and unremarkable... but in another language. Los Angeleño, Quebecois, Portuguese. Sometimes not even the same language. "Czech" is the Polish spelling; I can't even get the proper character set up here to write it the native way.
A lot of them are left over from ancient or medieval English. Spanish, French, British, Irish. "-ish" is the same adjectival suffix we see in "foolish."
There are some places from which I've never heard the derivation. People from Maine call themselves Down Easters. I can't imagine building an adjective from a name like Massachusetts or Connecticut. I've been living across the Chesapeake Bay from Delaware for five years and I've yet to hear any phrase except "people from Delaware."
Illinois, Indiana, Wyoming, New Hampshire, does anybody know someone from these states? I was born in Illinois and I still don't know the word for it. Are people from Vancouver called British Columbians and the others are called Colombian Colombians?