It's not weird at all, and it's the same in all languages. Some of the countries are very new, or the speakers of the language only came in contact with it recently. Then it's more likely they will use a country-related term. If on the other hand you have been in contact with the people for hundreds, or thousands of years, long before modern nation states, you will probably be using a tribal name for them, like Dane or Swede.

It is usually easy to understand if you just look into it.