Sort of a complex story about why it's Filipino versus Philippine: http://www.filipinawives.com/WhatsInAName.htm
Some residents of Hong Kong simply call themselves Chinese, while others describe themselves as Hong Kongers.
This subject is often a source of dispute when it comes to the 50 U.S. states. For example, for many years, residents of my home state were always called "Michiganders." Suddenly, beginning in the late 1980s, newspapers and such started calling us "Michiganians" instead. There's no real rhyme or reason to our state adjectives; sometimes we add an "er" (New Yorker), sometimes "ian" (Californian), sometimes something completely different. tdol and other Brits can probably share similar stories (Glasgow=Glaswegians ?!)
/me, I'm still a Michigander at heart