Learn English – Term describing where someone is from or what nationality they are

Is there a term for the word that describes where a person is from or what nationality they are? For example, someone from America is an American, and someone from Finland is a Finn. Is there are term for the words American and Finn that denotes that they mean "someone from a particular place"? I could have sworn I stumbled upon such a word years ago, but I cannot for the life of me remember it.