English and plenty of other languages don't distinguish between "ethnic Foo" and "Fooland citizens" for most Foo who have their own country named after them.
Pretty much the only exception is in Central Asia (where you have e.g. "Kazakh" vs. "Kazakhstani" in English, "Kazakh(skii)" vs. "Kazakhstanets/Kazakhstanskii" in Russian, etc.)
Chinese is one of the few exceptions to this principle (e.g. eluosizu vs. eluosiren), since they want to make sure to clearly distinguish between their own ethnic minorities and the citizens of the neighboring countries.
Hmm, interesting. Perhaps it is rooted in the European concept of a nation state, where political legitimacy derives from cultural identity?
Btw, don't Native Americans identify themselves by their ethnic heritage as well? Not to mention South Asia (Hindu, Punjabi) and the Middle East (Arab, Persian, Jew, etc.). From what little I know of African cultures, many seem to also use distinct ethnic identities (Tutsi, Hutu, Zulu, etc.).
English doesn't seem to distinguish between ethnic Chinese and Chinese nationals. Goes to show how much is lost in translation.