The problem there is that things like 'yankee' are slang terms and not formal-type names like Canadian or Mexican and soforth are. Sure, it's generally not meant so rudely as many slang terms for various nationalities, ethnicities, and races around the world are, but it's still not a grammatically proper official name. Also, it's the name of a professional baseball team in the United States of America as well. Would you call a rugby team The British? I think not.