[Grustaf]

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".

[smeej]

I love that you're still arguing with me about what words I cobbled together--which are not actually words anybody uses--sound like they mean and why.

I'm having real trouble coming up with a single country that has the demonym "[Country name]man."

There is a meaningful difference between the name of a country and the term for someone from that country. The second is inherently neutral, because no one controls where they're born. The first connotes that someone defines themselves by their connection to the country as a country (or that the person calling them that sees that as their primary identity, subordinate to the identity of the country itself).