No it doesn't. It's just historical accident. If you look around you will notice that some demonyms are based on the country name, some or not. It doesn't correlate with it being pejorative. "Italian" or "Congolese" are not more pejorative than "Frenchman". They are just newer, because the countries are newer.

Not that any normal person thinks that there is anything negative with "some sort of preference for the country as country, to the degree that a person defines themselves by it". It's politically quite extreme to see that as "pejorative".