I wonder how much of it is just influenced by the media. Generally, when you hear a news report on somewhere distant you rely on how the media refers to a local resident and forever call people from there based on what you heard/read.

As for New Yorkers, that is the term people in New York City use to call themselves. I live in the state and we avoid that term like the plague. New Yorkers are so smug and view the rest of the state as just there to support them, which in a sense is true, the taxes are so high because of NYC. I don't want to go to far off on a tangent here so I'll just say, at least in my part of the state, we prefer to go by our town/city locality names.