Demons? No, put together the Greek demos meaning populace (demographics, demo and the suffix -onym meaning name (synonym, acronym). Demonyms, also known at gentilics, describe persons from a particular place.
In English, the most common constructions add a suffix to the name of the locale: -ian, -(a)n, -ite, -er, -ish, -ine, etc. There are many exceptions to those patterns. While those from Colombia are Colombian, those from Calabria are Calabrese. There are also changes in spelling between the root of a locale name and its natives: those from Scotland are Scottish and those from Denmark are Danish, and those from France are French. Many of the irregularities occur when either, but not both, the country name or the demonym is borrowed or adapted from the native language or a Latin version. Glaswegians are from Glasgow and Neopolitans are from Naples.
When writing about a population, consult an encyclopedia or reference book to ensure the correct spelling and usage, including variations to denote gender. Pick up Labels for Locals by Paul Dickson if you have room on your bookshelf.