Yes there is. Like a person from England is English, or from America is American. To be city specific is also possible, Londoners are from London (also known as cockney's by some), Brummies from Birmingham (I dunno foreign equivilants, New Yorker from New York perhaps ).

So someone from Zanarkand could be called Zanarkandian, or whatever the suitable form of the word is. Whether this can also be used to describe one's race however is debatable, but I think not