I've thought about this before, but hey... it's tradition, it's easiest to say, etc. Everyone calls us "Americans" and so it just kinda stuck. I agree though, it's kind of dumb. But what else can we be? "USAers"? "United States-ians"? Nothing else is easy.
For Spain it's "Spaniards"... Mexicans, Canadians... that's all easy. We have a funny name for a country.