Californians live in California. Texans live in Texas. New Yorkers (from both the city and state) live in New York. So what are residents of Massachusetts called?
Seriously though, many state names like Massachusetts do not easily adapt to common English gentilic morphemes like the ones used in the joke above. The traditional and archaic demonyms for Massachusetts are respectively “Massachusite” and “Massachusettians”; the official state term for a MA resident is “Bay Stater”.