Why do we say "English law" and "French law" but not "Californian law" or "Coloradan law"?

Same with other phrases, such as "English citizen" or "French resident" (not "England citizen" or "France resident") but "Arizona citizen" and "Washington resident" (not "Arizonan citizen" or "Washingtonian resident"). In general, my sense is that the state name is also the common adjective (California wine, only rarely Californian wine), even though that is generally not so for countries (French wine, not France wine). I'd never really noticed this before, though I'm pretty sure I've nearly always followed this rule even without noticing it.

Anyone have any sense of why? I take it there must be some reason, historical or psychological even if not logical.

UPDATE: Commenter twobaylorbears reminds me that English subject or British subject is the more common term than English citizen or British citizen (a matter unrelated to the general point of the post, but still worth noting). It turns out, though, that in recent years British citizen has become almost as popular as British subject; English subject remains about 3 to 4 times more popular than English citizen.

Commenter Freddy Hill notes that "Californian wine" is more popular in British English than it is in American English, though even in British English "California wine" is a bit more popular.