As an adopted Mancunian (by way of nearby North Wales) I had never really questioned why we used this demonym at all, I suppose in the same way I might not question why a sheep is called a sheep.
Some other interesting ones from the nearby area: anyone from North Wales is called (by those from South Wales primarily) a "gog" typically with a negative connotation. It comes simply from the Welsh for north: Goggledd (gogg-lev).
And one that the Scousers love to use is "Woollyback", for those from the nearby county Lancashire, as the locals would walk into Liverpool with wool on their backs to sell.
In Welsh classes in school we used to watch Gogs [0] but it was never once explained to us that it comes from Goggledd, nor do I remember learning that word.
Edit: Having just watched a couple of minutes of the clip, it appears that it's independent of language (like Mr. Bean) so I'm not sure why we used to watch it in Welsh classes, but it probably goes someway to explaining why I don't know many reasonable basic words in Welsh.
Some other interesting ones from the nearby area: anyone from North Wales is called (by those from South Wales primarily) a "gog" typically with a negative connotation. It comes simply from the Welsh for north: Goggledd (gogg-lev).
And one that the Scousers love to use is "Woollyback", for those from the nearby county Lancashire, as the locals would walk into Liverpool with wool on their backs to sell.